Distributed and transactionally deterministic data processing architecture

ABSTRACT

A data transaction processing system including multiple transaction processors also includes an active transaction receiver that sequences all incoming messages from various sources to facilitate transactional determinism, as well as a results arbiter to efficiently decide which transaction processor result to choose as the correct output. The data transaction processing system minimizes overall latency by optimizing which transaction processors and results arbiters are responsive to specific client computer input requests or messages.

CROSS REFERENCE TO RELATED APPLICATIONS

This application is a continuation under 37 C.F.R. § 1.53(b) of U.S.patent application Ser. No. 16/822,392 filed Mar. 18, 2020 now U.S. Pat.No. 11,272,040, which is a continuation under 37 C.F.R. § 1.53(b) ofU.S. patent application Ser. No. 16/392,994 filed Apr. 24, 2019 now U.S.Pat. No. 10,637,967, which is a continuation under 37 C.F.R. § 1.53(b)of U.S. patent application Ser. No. 15/374,908 filed Dec. 9, 2016 nowU.S. Pat. No. 10,326,862, the entire disclosures of which areincorporated by reference in its entirety.

BACKGROUND

Computer systems commonly include multiple processing components. Manycomputer applications span multiple “tenants” (multi-threaded,multi-process, clustered, multi-data-center, etc.). The multiplecomponents may receive the same operations or instructions to execute.Problems may arise if the order of operations between two processingcomponents can differ, leading to different states for the twoprocessing components.

To alleviate this, systems may run order-critical processes, or portionsthereof, through a single system component. Or systems may replicate theend state out to redundant (backup) components. However, these types ofarchitecture may limit the maximum throughput of the system to theshortest time the single system component can process an operation andthen replicate its state to its peer machines.

Moreover, redundant computer systems may depend on time/temporalbased/controlled coordination to attempt to ensure that multiplecomponents perform events or operations at the same (real) time, or inthe same order. However, computer system clocks are susceptible to driftwhere the clock of one computer/processor may operate at a different,i.e. faster or slower, rate than the clock of anothercomputer/processor. Thus, it can become difficult to ensure thatdifferent components perform time-based tasks concurrently or in thesame or desired order.

A single component may be used to deterministically control ordering andtiming signals. However, the single component may be logically orphysically separated from computers that submit messages to the exchangecomputing system. Other components that process the messages and computedata may need to communicate with, or receive messages and data from,the single component. Ordering the messages at the single component,processing the messages and transmitting response messages, which may belarger in size than the incoming messages, back to the submittingcomputers may increase latency and decrease throughput, especially whenthe submitting computer and the ordering component are logically and/orphysically remote.

BRIEF DESCRIPTION OF THE DRAWINGS

FIG. 1 depicts an illustrative electronic trading system that may beused to implement aspects of the disclosed embodiments.

FIG. 2 depicts an illustrative embodiment of a general computer systemfor use with the disclosed embodiments.

FIG. 3 depicts an example market order message management system forimplementing the disclosed embodiments.

FIG. 4 depicts a block diagram of an exemplary implementation of thesystem of FIG. 1 according to one embodiment.

FIG. 5A illustrates an example exchange computing system forimplementing the disclosed embodiments.

FIG. 5B illustrates another example exchange computing system forimplementing the disclosed embodiments.

FIG. 5C illustrates another example exchange computing system forimplementing the disclosed embodiments.

FIG. 5D illustrates yet another example exchange computing system forimplementing the disclosed embodiments.

FIG. 5E illustrates still another example exchange computing system forimplementing the disclosed embodiments.

FIG. 6 illustrates another example exchange computing system forimplementing the disclosed embodiments.

FIG. 7 an example flowchart for implementing an example exchangecomputing system in accordance with the disclosed embodiments

DETAILED DESCRIPTION

The disclosed embodiments relate generally to a data transactionprocessing system which includes multiple physically, e.g.geographically, and/or logically distinct or otherwise separatedprocessing components that perform some (e.g., for process optimizationand improved performance) or all (e.g., for, fault tolerance) of thesame tasks. For example, the components may be configured toindependently arrive at the same results based on a given set of inputs,e.g., to implement a deterministic system, or for redundancy. Moreover,the multiple components may receiveinstructions/operations/tasks/transactions from multiple sources, suchas client computers, timing control devices, instruction generators,etc.

The data transaction processing system may include a single component,e.g., an orderer, to control the order and timing of processing thetasks or instructions performed by the multiple systems or components.For example, the processing by the multiple components may by controlledto be the same or otherwise synchronized/coordinated by the singlecomponent, e.g., the orderer.

The data transaction processing system may generate both tasks andassociated task identifiers, and send task identifiers through a singlesequencer, e.g., the orderer, so as to control the order, in a lowlatency manner, in which instructions are processed by components, evenwhen the components receive instructions from multiple sources.

The tasks may be event based. Where the event is a time of day, thedisclosed embodiments may include a time beacon that serves as auniversal source of time for all of the system components. The systemcomponents accordingly may each receive a message indicating the time,and each component may perform a time-based task upon receiving themessage indicating the corresponding time.

A system that allows such universal sequencing, including for eventbased (where the occurrence of a predetermined time may be an event)instructions, enables all system components to come to the same state orresult. The disclosed embodiments also allow replay of transactions at amuch later time, e.g., several weeks after processing transactions.

For example, multiple machines, e.g. computers or processors, in asystem implementing the disclosed embodiments may receive the samestream of tasks or instructions in a different order, but each machinecan nevertheless process the tasks in the same order, leading themachines to eventually reach or otherwise be able to maintain identicalstates once all the tasks are processed.

For more details on implementing a single component, e.g., an orderer,to facilitate deterministic behavior and precise timing control, seeU.S. patent application Ser. No. 15/232,208, Aug. 9, 2016, entitled“Systems and Methods for Coordinating Processing of ScheduledInstructions Across Multiple Components” (“the '208 application”), andU.S. patent application Ser. No. 15/232,224, filed on Aug. 9, 2016,entitled “Systems and Methods for Coordinating Processing ofInstructions Across Multiple Components” (“the '224 application”), theentireties of each of which is incorporated by reference herein andrelied upon.

The disclosed embodiments relate generally to a data communicationssystem/network, for use by a data transaction processing system, thatincludes an orderer component to facilitate deterministic behavior. Thedata stream generated by the orderer component may be input into severaldifferent (e.g., redundant) transaction processors. The multipletransaction processors perform processing, e.g., matching, based on theinput data received from the orderer component. Each transactionprocessor may perform its own processing, and its output stream may be,in one embodiment, much larger than the input data stream (i.e.,received by each transaction processor from the orderer component). Theoutputs may be provided to a decider component, which determines whichof the transaction processor outputs should be treated as the result ofthe transaction processor processing. See U.S. patent application Ser.No. 14/074,675, Published as U.S. Publication No. 2015-0127516 A1, filedon Nov. 7, 2013 entitled “Transactionally Deterministic High SpeedFinancial Exchange Having Improved, Efficiency, Communication,Customization, Performance, Access, Trading Opportunities, CreditControls, and Fault Tolerance,” the entire disclosure of which isincorporated by reference herein and relied upon. The outputs may alsobe published as large market data feeds.

The disclosed embodiments may include multiple decider components thatare configured to communicate results to various client computers, sothat each client customer rapidly receives output results. Each decidercomponent is configured to optimize the data path from the transactionprocessors to the client computers. Remote client computers, includinggeographically distant client computers, receive the output resultsrapidly due to the orderer component providing an input stream to eachtransaction processor, and separate decider components that areoptimized, based on transaction processor configuration, to respond toclient computers.

The data transaction processing system, may, in one embodiment, operatein a stateful manner, i.e., depend upon historical/prior messagesreceived, and/or rely upon previous results thereof or previousdecisions made, by the transaction processing system. The datatransaction processing system may also access data structures storinginformation about a current environment state to optimize decidercomponent to client computer communication.

The disclosed embodiments improve upon the technical field of dataprocessing, in one embodiment, by optimizing which decider componentcommunicates processing results back to client computers. In a systemthat performs dynamic computations where output responses can be on theorder of hundreds of times larger (i.e., more data) that inputs,optimizing transmission of transaction processing results can largelyimprove overall system latency and efficiency.

The disclosed system is a specific implementation and practicalapplication that allows configuration of data transfer in from variousclient customers to an orderer component (e.g., to facilitatedeterminism) to multiple transaction processors and back out from themultiple transaction processors to one or more decider components andback to various client computers, so that the latency for a responsetime to a client computer is minimized. For example, the system mayincrease efficiencies in an exchange computing system's matchingprocessors by allowing configuring of which processors generated theelectronic data transaction result messages that are transmittedto/responsive to specific client computers.

At least some of the problems solved by the disclosed resourceallocation system are specifically rooted in technology, specifically indata communications where transaction processors deterministicallycompute values so that data output amounts are much larger than datainput amount, and where different client computers may be geographicallydistributed and/or active at different times.

In one embodiment, the data transaction processing system is aparticular practical and technological solution for a processing systemhaving multiple transaction processors that receives data inputs fromone active orderer component, yet where data inputs are received from,and data outputs are transmitted to, various disparate client computers.

Such technologically rooted problems may be solved by means of atechnical solution that minimizes the amount of data that has to becopied or transferred, instead preferring to generate (i.e., compute)new data output values deterministically at optimized locations withinthe data transaction processing system.

The disclosed embodiments solve a problem arising in state-dependenttrading and transaction processing where the data input volume to dataoutput volume ratio is unbalanced, e.g., data output volume far exceedsdata input volume, and where data input is processed through an orderercomponent to facilitate deterministic, predictable behavior.

Accordingly, the resulting problem is a problem arising in computersystems due to asymmetric data flow resulting from transactionprocessing that implements specific matching algorithms, discussedbelow. The solutions disclosed herein are, in one embodiment,implemented as automatic responses and actions by an exchange computingsystem computer.

The disclosed embodiments may be directed to an exchange computingsystem that includes multiple hardware matching processors that match,or attempt to match, electronic data transaction request messages withother electronic data transaction request messages counter thereto.Input electronic data transaction request messages may be received fromdifferent client computers over a data communication network, and outputelectronic data transaction result messages may be transmitted to theclient computers and may be indicative of results of the attempts tomatch incoming electronic data transaction request messages. Orderercomponents and decider components implemented between the clientcomputers and hardware matching processors shape and optimize the dataflow. While the disclosed embodiments will be described with respect toelectronic data transaction request and result messages, it will beappreciated that the disclosed embodiments may be implemented withrespect to other technologies later developed, such as photonic, e.g.,light-based, messages.

The disclosed embodiments may be implemented in a data transactionprocessing system that processes data items or objects. Customer or userdevices (e.g., computers) may submit electronic data transaction requestmessages, e.g., inbound messages, to the data transaction processingsystem over a data communication network. The electronic datatransaction request messages may include, for example, transactionmatching parameters, such as instructions and/or values, for processingthe data transaction request messages within the data transactionprocessing system. The instructions may be to perform transactions,e.g., buy or sell a quantity of a product at a given value. Products,e.g., financial instruments, or order books representing the state of anelectronic marketplace for a product, may be represented as data objectswithin the exchange computing system. The instructions may also beconditional, e.g., buy or sell a quantity of a product at a given valueif a trade for the product is executed at some other reference value.The data transaction processing system may include various specificallyconfigured matching processors that match, e.g., automatically,electronic data transaction request messages for the same one of thedata items. The specifically configured matching processors may matchelectronic data transaction request messages based on multipletransaction matching parameters from the different client computers. Thespecifically configured matching processors may additionally generateinformation indicative of a state of an environment (e.g., the state ofthe order book) based on the processing, and report this information todata recipient computing systems via outbound messages published via oneor more data feeds.

For example, one exemplary environment where increasing redundancy andminimizing response time latency is desirable is in financial markets,and in particular, electronic financial exchanges, such as a futuresexchange, such as the Chicago Mercantile Exchange Inc. (CME).

A financial instrument trading system, such as a futures exchange, suchas the Chicago Mercantile Exchange Inc. (CME), provides a contractmarket where financial instruments, e.g., futures and options onfutures, are traded using electronic systems. “Futures” is a term usedto designate all contracts for the purchase or sale of financialinstruments or physical commodities for future delivery or cashsettlement on a commodity futures exchange. A futures contract is alegally binding agreement to buy or sell a commodity at a specifiedprice at a predetermined future time. An option contract is the right,but not the obligation, to sell or buy the underlying instrument (inthis case, a futures contract) at a specified price within a specifiedtime. The commodity to be delivered in fulfillment of the contract, oralternatively the commodity for which the cash market price shalldetermine the final settlement price of the futures contract, is knownas the contract's underlying reference or “underlier.” The terms andconditions of each futures contract are standardized as to thespecification of the contract's underlying reference commodity, thequality of such commodity, quantity, delivery date, and means ofcontract settlement. Cash settlement is a method of settling a futurescontract whereby the parties effect final settlement when the contractexpires by paying/receiving the loss/gain related to the contract incash, rather than by effecting physical sale and purchase of theunderlying reference commodity at a price determined by the futurescontract, price. Options and futures may be based on more generalizedmarket indicators, such as stock indices, interest rates, futurescontracts and other derivatives.

An exchange may provide for a centralized “clearing house” through whichtrades made must be confirmed, matched, and settled each day untiloffset or delivered. The clearing house may be an adjunct to anexchange, and may be an operating division of an exchange, which isresponsible for settling trading accounts, clearing trades, collectingand maintaining performance bond funds, regulating delivery, andreporting trading data. One of the roles of the clearing house is tomitigate credit risk. Clearing is the procedure through which theclearing house becomes buyer to each seller of a futures contract, andseller to each buyer, also referred to as a novation, and assumesresponsibility for protecting buyers and sellers from financial loss dueto breach of contract, by assuring performance on each contract. Aclearing member is a firm qualified to clear trades through the clearinghouse.

An exchange computing system may operate under a central counterpartymodel, where the exchange acts as an intermediary between marketparticipants for the transaction of financial instruments. Inparticular, the exchange computing system novates itself into thetransactions between the market participants, i.e., splits a giventransaction between the parties into two separate transactions where theexchange computing system substitutes itself as the counterparty to eachof the parties for that part of the transaction, sometimes referred toas a novation. In this way, the exchange computing system acts as aguarantor and central counterparty and there is no need for the marketparticipants to disclose their identities to each other, or subjectthemselves to credit or other investigations by a potentialcounterparty. For example, the exchange computing system insulates onemarket participant from the default by another market participant.Market participants need only meet the requirements of the exchangecomputing system. Anonymity among the market participants encourages amore liquid market environment as there are lower barriers toparticipation. The exchange computing system can accordingly offerbenefits such as centralized and anonymous matching and clearing.

A match engine within a financial instrument trading system may comprisea transaction processing system that processes a high volume, e.g.,millions, of messages or orders in one day. The messages are typicallysubmitted from market participant computers. Exchange match enginesystems may be subject to variable messaging loads due to variablemarket messaging activity. Performance of a match engine depends to acertain extent on the magnitude of the messaging load and the workneeded to process that message at any given time. An exchange matchengine may process large numbers of messages during times of high volumemessaging activity. With limited processing capacity, high messagingvolumes may increase the response time or latency experienced by marketparticipants.

The disclosed embodiments recognize that electronic messages such asincoming messages from market participants, i.e., “outright” messages,e.g., trade order messages, etc., are sent from client devicesassociated with market participants, or their representatives, to anelectronic trading or market system. For example, a market participantmay submit an electronic message to the electronic trading system thatincludes an associated specific action to be undertaken by theelectronic trading system, such as entering a new trade order into themarket or modifying an existing order in the market. In one embodiment,if a participant wishes to modify a previously sent request, e.g., aprior order which has not yet been processed or traded, they may send arequest message comprising a request to modify the prior request.

As used herein, a financial message, or an electronic message, refersboth to messages communicated by market participants to an electronictrading or market system and vice versa. The messages may becommunicated using packeting or other techniques operable to communicateinformation between systems and system components. Some messages may beassociated with actions to be taken in the electronic trading or marketsystem. The messages may include business level information, e.g.,request to buy and/or sell a financial product. The messages may alsoinclude network level information, e.g., cancel on disconnect, thatstill have an effect on the match engine processing and resultant orderbooks. In other words, a message may not include a financial request,but may include TCP level instructions to cancel messages upon theoccurrence of an event. The occurrence of that event may then cause theexchange computing system to perform an action, e.g., cancel messages,which affects the order book and market data feeds.

Financial messages communicated to the electronic trading system, alsoreferred to as “inbound” messages, may include associated actions thatcharacterize the messages, such as trader orders, order modifications,order cancelations and the like, as well as other message types. Inboundmessages may be sent from market participants, or their representatives,e.g., trade order messages, etc., to an electronic trading or marketsystem. For example, a market participant may submit an electronicmessage to the electronic trading system that includes an associatedspecific action to be undertaken by the electronic trading system, suchas entering a new trade order into the market or modifying an existingorder in the market. In one exemplary embodiment, the incoming requestitself, e.g., the inbound order entry, may be referred to as an iLinkmessage. iLink is a bidirectional communications/messageprotocol/message format implemented by the Chicago Mercantile ExchangeInc. While the disclosure describes market participants submittinginbound messages that include requests, the exchange computing systemmay have the ability to cancel customer orders, initiate orders, andreverse or “bust” previously executed trades.

Financial messages communicated from the electronic trading system,referred to as “outbound” messages, may include messages responsive toinbound messages, such as confirmation messages, or other messages suchas market update messages, quote messages, and the like. Outboundmessages may be disseminated via data feeds.

Financial messages may further be categorized as having or reflecting animpact on a market or electronic marketplace, also referred to as an“order book” or “book,” for a traded product, such as a prevailing pricetherefore, number of resting orders at various price levels andquantities thereof, etc., or not having or reflecting an impact on amarket or a subset or portion thereof. In one embodiment, an electronicorder book may be understood to be an electronic collection of theoutstanding or resting orders for a financial instrument.

For example, a request to place a trade may result in a responseindicative of the trade either being matched with, or being rested on anorder book to await, a suitable counter-order. This response may includea message directed solely to the trader who submitted the order toacknowledge receipt of the order and report whether it was matched, andthe extent thereto, or rested. The response may further include amessage to all market participants reporting a change in the order bookdue to the order. This response may take the form of a report of thespecific change to the order book, e.g., an order for quantity X atprice Y was added to the book (referred to, in one embodiment, as aMarket By Order message), or may simply report the result, e.g., pricelevel Y now has orders for a total quantity of Z (where Z is the sum ofthe previous resting quantity plus quantity X of the new order). In somecases, requests may elicit a non-impacting response, such as temporallyproximate to the receipt of the request, and then cause a separatemarket-impact reflecting response at a later time. For example, a stoporder, fill or kill order, also known as an immediate or cancel order,or other conditional request may not have an immediate market impactingeffect, if at all, until the requisite conditions are met.

In one embodiment, the disclosed system may include a Market SegmentGateway (“MSG”) that is the point of ingress/entry and/oregress/departure for all transactions, i.e., the network traffic/packetscontaining the data therefore, specific to a single market at which theorder of receipt of those transactions may be ascribed. An MSG or MarketSegment Gateway may be utilized for the purpose of deterministicoperation of the market. The electronic trading system may includemultiple markets, and because the electronic trading system includes oneMSG for each market/product implemented thereby, the electronic tradingsystem may include multiple MSGs. For more detail on deterministicoperation in a trading system, see U.S. patent application Ser. No.14/074,667 entitled “Transactionally Deterministic High Speed FinancialExchange Having Improved, Efficiency, Communication, Customization,Performance, Access, Trading Opportunities, Credit Controls, And FaultTolerance” and filed on Nov. 7, 2013, the entire disclosure of which isincorporated by reference herein and relied upon.

For example, a participant may send a request for a new transaction,e.g., a request for a new order, to the MSG. The MSG extracts or decodesthe request message and determines the characteristics of the requestmessage.

The MSG may include, or otherwise be coupled with, a buffer, cache,memory, database, content addressable memory, data store or other datastorage mechanism, or combinations thereof, which stores data indicativeof the characteristics of the request message. The request is passed tothe transaction processing system, e.g., the match engine.

An MSG or Market Segment Gateway may be utilized for the purpose ofdeterministic operation of the market. Transactions for a particularmarket may be ultimately received at the electronic trading system viaone or more points of entry, e.g., one or more communicationsinterfaces, at which the disclosed embodiments apply determinism, whichas described may be at the point where matching occurs, e.g., at eachmatch engine (where there may be multiple match engines, each for agiven product/market, or moved away from the point where matching occursand closer to the point where the electronic trading system firstbecomes “aware” of the incoming transaction, such as the point wheretransaction messages, e.g., orders, ingress the electronic tradingsystem. Generally, the terms “determinism” or “transactionaldeterminism” may refer to the processing, or the appearance thereof, oforders in accordance with defined business rules. Accordingly, as usedherein, the point of determinism may be the point at which theelectronic trading system ascribes an ordering to incomingtransactions/orders relative to other incoming transactions/orders suchthat the ordering may be factored into the subsequent processing, e.g.,matching, of those transactions/orders as will be described. For moredetail on deterministic operation in a trading system, see U.S. patentapplication Ser. No. 14/074,675, filed on Nov. 7, 2013, published asU.S. Patent Publication No. 2015/0127516, entitled “TransactionallyDeterministic High Speed Financial Exchange Having Improved, Efficiency,Communication, Customization, Performance, Access, TradingOpportunities, Credit Controls, And Fault Tolerance”, the entirety ofwhich is incorporated by reference herein and relied upon.

Electronic trading of financial instruments, such as futures contracts,is conducted by market participants sending orders, such as to buy orsell one or more futures contracts, in electronic form to the exchange.These electronically submitted orders to buy and sell are then matched,if possible, by the exchange, i.e., by the exchange's matching engine,to execute a trade. Outstanding (unmatched, wholly unsatisfied/unfilledor partially satisfied/filled) orders are maintained in one or more datastructures or databases referred to as “order books,” such orders beingreferred to as “resting,” and made visible, i.e., their availability fortrading is advertised, to the market participants through electronicnotifications/broadcasts, referred to as market data feeds. An orderbook is typically maintained for each product, e.g., instrument, tradedon the electronic trading system and generally defines or otherwiserepresents the state of the market for that product, i.e., the currentprices at which the market participants are willing buy or sell thatproduct. As such, as used herein, an order book for a product may alsobe referred to as a market for that product.

Upon receipt of an incoming order to trade in a particular financialinstrument, whether for a single-component financial instrument, e.g., asingle futures contract, or for a multiple-component financialinstrument, e.g., a combination contract such as a spread contract, amatch engine, as described herein, will attempt to identify a previouslyreceived but unsatisfied order counter thereto, i.e., for the oppositetransaction (buy or sell) in the same financial instrument at the sameor better price (but not necessarily for the same quantity unless, forexample, either order specifies a condition that it must be entirelyfilled or not at all).

Previously received but unsatisfied orders, i.e., orders which eitherdid not match with a counter order when they were received or theirquantity was only partially satisfied, referred to as a partial fill,are maintained by the electronic trading system in an order bookdatabase/data structure to await the subsequent arrival of matchingorders or the occurrence of other conditions which may cause the orderto be modified or otherwise removed from the order book.

If the match engine identifies one or more suitable previously receivedbut unsatisfied counter orders, they, and the incoming order, arematched to execute a trade there between to at least partially satisfythe quantities of one or both the incoming order or the identifiedorders. If there remains any residual unsatisfied quantity of theidentified one or more orders, those orders are left on the order bookwith their remaining quantity to await a subsequent suitable counterorder, i.e., to rest. If the match engine does not identify a suitablepreviously received but unsatisfied counter order, or the one or moreidentified suitable previously received but unsatisfied counter ordersare for a lesser quantity than the incoming order, the incoming order isplaced on the order book, referred to as “resting”, with original orremaining unsatisfied quantity, to await a subsequently receivedsuitable order counter thereto. The match engine then generates matchevent data reflecting the result of this matching process. Othercomponents of the electronic trading system, as will be described, thengenerate the respective order acknowledgment and market data messagesand transmit those messages to the market participants.

Matching, which is a function typically performed by the exchange, is aprocess, for a given order which specifies a desire to buy or sell aquantity of a particular instrument at a particular price, ofseeking/identifying one or more wholly or partially, with respect toquantity, satisfying counter orders thereto, e.g., a sell counter to anorder to buy, or vice versa, for the same instrument at the same, orsometimes better, price (but not necessarily the same quantity), whichare then paired for execution to complete a trade between the respectivemarket participants (via the exchange) and at least partially satisfythe desired quantity of one or both of the order and/or the counterorder, with any residual unsatisfied quantity left to await anothersuitable counter order, referred to as “resting.” A match event mayoccur, for example, when an aggressing order matches with a restingorder. In one embodiment, two orders match because one order includesinstructions for or specifies buying a quantity of a particularinstrument at a particular price, and the other order includesinstructions for or specifies selling a (different or same) quantity ofthe instrument at a same or better price. It should be appreciated thatperforming an instruction associated with a message may includeattempting to perform the instruction. Whether or not an exchangecomputing system is able to successfully perform an instruction maydepend on the state of the electronic marketplace.

While the disclosed embodiments will be described with respect to aproduct by product or market by market implementation, e.g. implementedfor each market/order book, it will be appreciated that the disclosedembodiments may be implemented so as to apply across markets formultiple products traded on one or more electronic trading systems, suchas by monitoring an aggregate, correlated or other derivation of therelevant indicative parameters as described herein.

While the disclosed embodiments may be discussed in relation to futuresand/or options on futures trading, it should be appreciated that thedisclosed embodiments may be applicable to any equity, fixed incomesecurity, currency, commodity, options or futures trading system ormarket now available or later developed. It should be appreciated that atrading environment, such as a futures exchange as described herein,implements one or more economic markets where rights and obligations maybe traded. As such, a trading environment may be characterized by a needto maintain market integrity, transparency, predictability,fair/equitable access and participant expectations with respect thereto.In addition, it should be appreciated that electronic trading systemsfurther impose additional expectations and demands by marketparticipants as to transaction processing speed, latency, capacity andresponse time, while creating additional complexities relating thereto.Accordingly, as will be described, the disclosed embodiments may furtherinclude functionality to ensure that the expectations of marketparticipants are met, e.g., that transactional integrity and predictablesystem responses are maintained.

As was discussed above, electronic trading systems ideally attempt tooffer an efficient, fair and balanced market where market prices reflecta true consensus of the value of products traded among the marketparticipants, where the intentional or unintentional influence of anyone market participant is minimized if not eliminated, and where unfairor inequitable advantages with respect to information access areminimized if not eliminated.

Financial instrument trading systems allow traders to submit orders andreceive confirmations, market data, and other information electronicallyvia electronic messages exchanged using a network. Electronic tradingsystems ideally attempt to offer a more efficient, fair and balancedmarket where market prices reflect a true consensus of the value oftraded products among the market participants, where the intentional orunintentional influence of any one market participant is minimized ifnot eliminated, and where unfair or inequitable advantages with respectto information access are minimized if not eliminated.

Electronic marketplaces attempt to achieve these goals by usingelectronic messages to communicate actions and related data of theelectronic marketplace between market participants, clearing firms,clearing houses, and other parties. The messages can be received usingan electronic trading system, wherein an action or transactionassociated with the messages may be executed. For example, the messagemay contain information relating to an order to buy or sell a product ina particular electronic marketplace, and the action associated with themessage may indicate that the order is to be placed in the electronicmarketplace such that other orders which were previously placed maypotentially be matched to the order of the received message. Thus theelectronic marketplace may conduct market activities through electronicsystems.

The clearing house of an exchange clears, settles and guarantees matchedtransactions in contracts occurring through the facilities of theexchange. In addition, the clearing house establishes and monitorsfinancial requirements for clearing members and conveys certain clearingprivileges in conjunction with the relevant exchange markets.

The clearing house establishes clearing level performance bonds(margins) for all products of the exchange and establishes minimumperformance bond requirements for customers of such products. Aperformance bond, also referred to as a margin requirement, correspondswith the funds that must be deposited by a customer with his or herbroker, by a broker with a clearing member or by a clearing member withthe clearing house, for the purpose of insuring the broker or clearinghouse against loss on open futures or options contracts. This is not apart payment on a purchase. The performance bond helps to ensure thefinancial integrity of brokers, clearing members and the exchange as awhole. The performance bond refers to the minimum dollar depositrequired by the clearing house from clearing members in accordance withtheir positions. Maintenance, or maintenance margin, refers to a sum,usually smaller than the initial performance bond, which must remain ondeposit in the customer's account for any position at all times. Theinitial margin is the total amount of margin per contract required bythe broker when a futures position is opened. A drop in funds below thislevel requires a deposit back to the initial margin levels, i.e., aperformance bond call. If a customer's equity in any futures positiondrops to or under the maintenance level because of adverse price action,the broker must issue a performance bond/margin call to restore thecustomer's equity. A performance bond call, also referred to as a margincall, is a demand for additional funds to bring the customer's accountback up to the initial performance bond level whenever adverse pricemovements cause the account to go below the maintenance.

The exchange derives its financial stability in large part by removingdebt obligations among market participants as they occur. This isaccomplished by determining a settlement price at the close of themarket each day for each contract and marking all open positions to thatprice, referred to as “mark to market.” Every contract is debited orcredited based on that trading session's gains or losses. As prices movefor or against a position, funds flow into and out of the tradingaccount. In the case of the CME, each business day by 6:40 a.m. Chicagotime, based on the mark-to-the-market of all open positions to theprevious trading day's settlement price, the clearing house pays to orcollects cash from each clearing member. This cash flow, known assettlement variation, is performed by CME's settlement banks based oninstructions issued by the clearing house. All payments to andcollections from clearing members are made in “same-day” funds. Inaddition to the 6:40 a.m. settlement, a daily intra-day mark-to-themarket of all open positions, including trades executed during theovernight GLOBEX®, the CME's electronic trading systems, trading sessionand the current day's trades matched before 11:15 a.m., is performedusing current prices. The resulting cash payments are made intra-day forsame day value. In times of extreme price volatility, the clearing househas the authority to perform additional intra-day mark-to-the-marketcalculations on open positions and to call for immediate payment ofsettlement variation. CME's mark-to-the-market settlement system differsfrom the settlement systems implemented by many other financial markets,including the interbank, Treasury securities, over-the-counter foreignexchange and debt, options, and equities markets, where participantsregularly assume credit exposure to each other. In those markets, thefailure of one participant can have a ripple effect on the solvency ofthe other participants. Conversely, CME's mark-to-the-market system doesnot allow losses to accumulate over time or allow a market participantthe opportunity to defer losses associated with market positions.

While the disclosed embodiments may be described in reference to theCME, it should be appreciated that these embodiments are applicable toany exchange. Such other exchanges may include a clearing house that,like the CME clearing house, clears, settles and guarantees all matchedtransactions in contracts of the exchange occurring through itsfacilities. In addition, such clearing houses establish and monitorfinancial requirements for clearing members and convey certain clearingprivileges in conjunction with the relevant exchange markets.

The disclosed embodiments are also not limited to uses by a clearinghouse or exchange for purposes of enforcing a performance bond or marginrequirement. For example, a market participant may use the disclosedembodiments in a simulation or other analysis of a portfolio. In suchcases, the settlement price may be useful as an indication of a value atrisk and/or cash flow obligation rather than a performance bond. Thedisclosed embodiments may also be used by market participants or otherentities to forecast or predict the effects of a prospective position onthe margin requirement of the market participant.

An acknowledgement or confirmation of receipt, e.g., a non-marketimpacting communication, may be sent to the trader simply confirmingthat the order was received. Upon the conditions being met and a marketimpacting result thereof occurring, a market-impacting message may betransmitted as described herein both directly back to the submittingmarket participant and to all market participants (in a Market By Price“MBP” or Market By Order “MBO” format). It should be appreciated thatadditional conditions may be specified, such as a time or price limit,which may cause the order to be dropped or otherwise canceled and thatsuch an event may result in another non-market-impacting communicationinstead. In some implementations, market impacting communications may becommunicated separately from non-market impacting communications, suchas via a separate communications channel or feed.

It should be further appreciated that various types of market data feedsmay be provided which reflect different markets or aspects thereof.Market participants may then, for example, subscribe to receive thosefeeds of interest to them. For example, data recipient computing systemsmay choose to receive one or more different feeds. As market impactingcommunications usually tend to be more important to market participantsthan non-impacting communications, this separation may reduce congestionand/or noise among those communications having or reflecting an impacton a market or portion thereof. Furthermore, a particular market datafeed may only communicate information related to the top buy/sell pricesfor a particular product, referred to as “top of book” feed, e.g., onlychanges to the top 10 price levels are communicated. Such limitationsmay be implemented to reduce consumption of bandwidth and messagegeneration resources. In this case, while a request message may beconsidered market-impacting if it affects a price level other than thetop buy/sell prices, it will not result in a message being sent to themarket participants.

Examples of the various types of market data feeds which may be providedby electronic trading systems, such as the CME, in order to providedifferent types or subsets of market information or to provide suchinformation in different formats include Market By Order, Market Depth(also known as Market by Price to a designated depth of the book), e.g.,CME offers a 10-deep market by price feed, Top of Book (a single depthMarket by Price feed), and combinations thereof. There may also be allmanner of specialized feeds in terms of the content, i.e., providing,for example, derived data, such as a calculated index.

Market data feeds may be characterized as providing a “view” or“overview” of a given market, an aggregation or a portion thereof orchanges thereto. For example, a market data feed, such as a Market ByPrice (“MBP”) feed, may convey, with each message, the entire/currentstate of a market, or portion thereof, for a particular product as aresult of one or more market impacting events. For example, an MBPmessage may convey a total quantity of resting buy/sell orders at aparticular price level in response to a new order being placed at thatprice. An MBP message may convey a quantity of an instrument which wastraded in response to an incoming order being matched with one or moreresting orders. MBP messages may only be generated for events affectinga portion of a market, e.g., only the top 10 resting buy/sell ordersand, thereby, only provide a view of that portion. As used herein, amarket impacting request may be said to impact the “view” of the marketas presented via the market data feed.

An MBP feed may utilize different message formats for conveyingdifferent types of market impacting events. For example, when a neworder is rested on the order book, an MBP message may reflect thecurrent state of the price level to which the order was added, e.g., thenew aggregate quantity and the new aggregate number of resting orders.As can be seen, such a message conveys no information about the restingorders, including the newly rested order, themselves to the marketparticipants. Only the submitting market participant, who receives aseparate private message acknowledging the event, knows that it wastheir order that was added to the book. Similarly, when a trade occurs,an MBP message may be sent which conveys the price at which theinstrument was traded, the quantity traded and the number ofparticipating orders, but may convey no information as to whoseparticular orders contributed to the trade. MBP feeds may further batchreporting of multiple events, i.e., report the result of multiple marketimpacting events in a single message.

Alternatively, a market data feed, referred to as a Market By Order(“MBO”) feed, may convey data reflecting a change that occurred to theorder book rather than the result of that change, e.g., that order ABCfor quantity X was added to price level Y or that order ABC and orderXYZ traded a quantity X at a price Y. In this case, the MBO messageidentifies only the change that occurred so a market participant wishingto know the current state of the order book must maintain their own copyand apply the change reflected in the message to know the current state.As can be seen, MBO messages carry much more data because they reflectany market impacting change. Furthermore, because specific orders, butnot the submitting traders thereof, are identified, other marketparticipants may be able to follow that order as it progresses throughthe market, e.g., as it is modified, canceled, traded, etc.

It should be appreciated that the number, type and manner of market datafeeds provided by an electronic trading system are implementationdependent and may vary depending upon the types of products traded bythe electronic trading system, customer/trader preferences, bandwidthand data processing limitations, etc. and that all such feeds, nowavailable or later developed, are contemplated herein. As such, MBP andMBO feeds may refer to categories/variations of market data feeds,distinguished by whether they provide an indication of the current stateof a market resulting from a market impacting event (MBP) or anindication of the change in the current state of a market due to amarket impacting event (MBO).

Messages, whether MBO or MBP, generated responsive to market impactingevents which are caused by a single order, such as a new order, an ordercancelation, an order modification, etc., are fairly simple and compactand easily created and transmitted. However, messages, whether MBO orMBP, generated responsive to market impacting events which are caused bymore than one order, such as a trade, may require the transmission of asignificant amount of data to convey the requisite information to themarket participants. For trades involving a large number of orders,e.g., a buy order for a quantity of 5000 which matches 5000 sell orderseach for a quantity of 1, a significant amount of information may needto be sent, e.g., data indicative of each of the 5000 trades that haveparticipated in the market impacting event.

Furthermore, each participating trader needs to receive a notificationthat their particular order has traded. Continuing with the example,this may require sending 5001 individual trade notification messages, oreven 10,000+ messages where each contributing side (buy vs. sell) isseparately reported, in addition to the notification sent to all of themarket participants.

As detailed in U.S. patent application Ser. No. 14/100,788, the entiretyof which is incorporated by reference herein and relied upon, it may berecognized that trade notifications sent to all market participants mayinclude redundant information repeated for each participating trade anda structure of an MBP trade notification message may be provided whichresults in a more efficient communication of the occurrence of a trade.The message structure may include a header portion which indicates thetype of transaction which occurred, i.e., a trade, as well as othergeneral information about the event, an instrument portion whichcomprises data about each instrument which was traded as part of thetransaction, and an order portion which comprises data about eachparticipating order. In one embodiment, the header portion may include amessage type, Transaction Time, Match Event Indicator, and Number ofMarket Data Entries (“No. MD Entries”) fields. The instrument portionmay include a market data update action indicator (“MD Update Action”),an indication of the Market Data Entry Type (“MD Entry Type”), anidentifier of the instrument/security involved in the transaction(“Security ID”), a report sequence indicator (“Rpt Seq”), the price atwhich the instrument was traded (“MD Entry PX”), the aggregate quantitytraded at the indicated price (“ConsTradeQty”), the number ofparticipating orders (“NumberOfOrders”), and an identifier of theaggressor side (“Aggressor Side”) fields. The order portion may furtherinclude an identifier of the participating order (“Order ID”), describedin more detail below, and the quantity of the order traded (“MD EntrySize”) fields. It should be appreciated that the particular fieldsincluded in each portion are implementation dependent and that differentfields in addition to, or in lieu of, those listed may be includeddepending upon the implementation. It should be appreciated that theexemplary fields can be compliant with the FIX binary and/or FIX/FASTprotocol for the communication of the financial information.

The instrument portion contains a set of fields, e.g., seven fieldsaccounting for 23 bytes, which are repeated for each participatinginstrument. In complex trades, such as trades involving combinationorders or strategies, e.g., spreads, or implied trades, there may bemultiple instruments being exchanged among the parties. In oneembodiment, the order portion includes only one field, accounting for 4bytes, for each participating order which indicates the quantity of thatorder which was traded. As will be discussed below, the order portionmay further include an identifier of each order, accounting for anadditional 8 bytes, in addition to the quantity thereof traded. Asshould be appreciated, data which would have been repeated for eachparticipating order, is consolidated or otherwise summarized in theheader and instrument portions of the message thereby eliminatingredundant information and, overall, significantly reducing the size ofthe message.

While the disclosed embodiments will be discussed with respect to an MBPmarket data feed, it should be appreciated that the disclosedembodiments may also be applicable to an MBO market data feed.

The embodiments may be described in terms of a distributed computingsystem. The particular examples identify a specific set of componentsuseful in a futures and options exchange. However, many of thecomponents and inventive features are readily adapted to otherelectronic trading environments. The specific examples described hereinmay teach specific protocols and/or interfaces, although it should beunderstood that the principles involved may be extended to, or appliedin, other protocols and interfaces.

It should be appreciated that the plurality of entities utilizing orinvolved with the disclosed embodiments, e.g., the market participants,may be referred to by other nomenclature reflecting the role that theparticular entity is performing with respect to the disclosedembodiments and that a given entity may perform more than one roledepending upon the implementation and the nature of the particulartransaction being undertaken, as well as the entity's contractual and/orlegal relationship with another market participant and/or the exchange.

An exemplary trading network environment for implementing tradingsystems and methods is shown in FIG. 1 . An exchange computer system 100receives messages that include orders and transmits market data relatedto orders and trades to users, such as via wide area network 126 and/orlocal area network 124 and computer devices 114, 116, 118, 120 and 122,as described herein, coupled with the exchange computer system 100.

Herein, the phrase “coupled with” is defined to mean directly connectedto or indirectly connected through one or more intermediate components.Such intermediate components may include both hardware and softwarebased components. Further, to clarify the use in the pending claims andto hereby provide notice to the public, the phrases “at least one of<A>, <B>, . . . and <N>” or “at least one of <A>, <B>, . . . <N>, orcombinations thereof” are defined by the Applicant in the broadestsense, superseding any other implied definitions herebefore orhereinafter unless expressly asserted by the Applicant to the contrary,to mean one or more elements selected from the group comprising A, B, .. . and N, that is to say, any combination of one or more of theelements A, B, . . . or N including any one element alone or incombination with one or more of the other elements which may alsoinclude, in combination, additional elements not listed.

The exchange computer system 100 may be implemented with one or moremainframe, desktop or other computers, such as the example computer 200described herein with respect to FIG. 2 . A user database 102 may beprovided which includes information identifying traders and other usersof exchange computer system 100, such as account numbers or identifiers,user names and passwords. An account data module 104 may be providedwhich may process account information that may be used during trades.

A match engine module 106 may be included to match bid and offer pricesand may be implemented with software that executes one or morealgorithms for matching bids and offers. A trade database 108 may beincluded to store information identifying trades and descriptions oftrades. In particular, a trade database may store informationidentifying the time that a trade took place and the contract price. Anorder book module 110 may be included to compute or otherwise determinecurrent bid and offer prices, e.g., in a continuous auction market, oralso operate as an order accumulation buffer for a batch auction market.

A market data module 112 may be included to collect market data andprepare the data for transmission to users.

A risk management module 134 may be included to compute and determine auser's risk utilization in relation to the user's defined riskthresholds. The risk management module 134 may also be configured todetermine risk assessments or exposure levels in connection withpositions held by a market participant.

The risk management module 134 may be configured to administer, manageor maintain one or more margining mechanisms implemented by the exchangecomputer system 100. Such administration, management or maintenance mayinclude managing a number of database records reflective of marginaccounts of the market participants. In some embodiments, the riskmanagement module 134 implements one or more aspects of the disclosedembodiments, including, for instance, principal component analysis (PCA)based margining, in connection with interest rate swap (IRS) portfolios,as described herein.

An order processing module 136 may be included to decompose delta-based,spread instrument, bulk and other types of composite orders forprocessing by the order book module 110 and/or the match engine module106. The order processing module 136 may also be used to implement oneor more procedures related to clearing an order.

A message management module 140 may be included to, among other things,receive, and extract orders from, electronic messages as is indicatedwith one or more aspects of the disclosed embodiments.

A settlement module 142 (or settlement processor or other paymentprocessor) may be included to provide one or more functions related tosettling or otherwise administering transactions cleared by theexchange. Settlement module 142 of the exchange computer system 100 mayimplement one or more settlement price determination techniques.Settlement-related functions need not be limited to actions or eventsoccurring at the end of a contract term. For instance, in someembodiments, settlement-related functions may include or involve dailyor other mark to market settlements for margining purposes. In somecases, the settlement module 142 may be configured to communicate withthe trade database 108 (or the memory(ies) on which the trade database108 is stored) and/or to determine a payment amount based on a spotprice, the price of the futures contract or other financial instrument,or other price data, at various times. The determination may be made atone or more points in time during the term of the financial instrumentin connection with a margining mechanism. For example, the settlementmodule 142 may be used to determine a mark to market amount on a dailybasis during the term of the financial instrument. Such determinationsmay also be made on a settlement date for the financial instrument forthe purposes of final settlement.

In some embodiments, the settlement module 142 may be integrated to anydesired extent with one or more of the other modules or processors ofthe exchange computer system 100. For example, the settlement module 142and the risk management module 134 may be integrated to any desiredextent. In some cases, one or more margining procedures or other aspectsof the margining mechanism(s) may be implemented by the settlementmodule 142.

It should be appreciated that concurrent processing limits may bedefined by or imposed separately or in combination on one or more of thetrading system components, including the user database 102, the accountdata module 104, the match engine module 106, the trade database 108,the order book module 110, the market data module 112, the riskmanagement module 134, the order processing module 136, the messagemanagement module 140, the settlement module 142, or other component ofthe exchange computer system 100.

In an embodiment, the message management module 140, as coupled with theorder book module 110, may be configured for receiving a plurality ofelectronic messages, each of the plurality of messages having anassociated action to be executed within a designated period of timehaving a beginning time and an ending time, wherein at least oneelectronic message of the plurality of electronic messages comprisesdata representative of a particular time between the beginning and endof the period of time at which the action associated with the at leastone electronic message is to be executed. The exchange computer system100 may then be further configured to execute the action associated withthe at least one temporally specific message at the particular time.

The message management module 140 may define a point of ingress into theexchange computer system 100 where messages are ordered and consideredto be received by the system. This may be considered a point ofdeterminism in the exchange computer system 100 that defines theearliest point where the system can ascribe an order of receipt toarriving messages. The point of determinism may or may not be at or nearthe demarcation point between the exchange computer system 100 and apublic/internet network infrastructure. FIG. 3 provides additionaldetails for the message management module 140.

The disclosed mechanisms may be implemented at any logical and/orphysical point(s), or combinations thereof, at which the relevantinformation/data may be monitored or is otherwise accessible ormeasurable, including one or more gateway devices, modems, the computersor terminals of one or more market participants, etc.

One skilled in the art will appreciate that one or more modulesdescribed herein may be implemented using, among other things, atangible computer-readable medium comprising computer-executableinstructions (e.g., executable software code). Alternatively, modulesmay be implemented as software code, firmware code, specificallyconfigured hardware or processors, and/or a combination of theaforementioned. For example the modules may be embodied as part of anexchange 100 for financial instruments. It should be appreciated thedisclosed embodiments may be implemented as a different or separatemodule of the exchange computer system 100, or a separate computersystem coupled with the exchange computer system 100 so as to haveaccess to margin account record, pricing, and/or other data. Asdescribed herein, the disclosed embodiments may be implemented as acentrally accessible system or as a distributed system, e.g., where someof the disclosed functions are performed by the computer systems of themarket participants.

As shown in FIG. 1 , the exchange computer system 100 further includes amessage management module 140 which may implement, in conjunction withthe market data module 112, the disclosed mechanisms for managingelectronic messages containing financial data sent between an exchangeand a plurality of market participants, or vice versa. However, as wasdiscussed above, the disclosed mechanisms may be implemented at anylogical and/or physical point(s) through which the relevant messagetraffic, and responses thereto, flows or is otherwise accessible,including one or more gateway devices, modems, the computers orterminals of one or more traders, etc.

FIG. 3 illustrates an embodiment of market order message management asimplemented using the message management module 140 and order bookmodule 110 of the exchange computer system 100. As such, a message 10may be received from a market participant at the exchange computersystem 100 by a message receipt module 144 of the message managementmodule 140. The message receipt module 144 processes the message 10 byinterpreting the content of the message based on the message transmitprotocol, such as the transmission control protocol (“TCP”), to providethe content of the message 10 for further processing by the exchangecomputer system.

For example, the message management module 140 may determine thetransaction type of the transaction requested in a given message. Amessage may include an instruction to perform a type of transaction. Thetransaction type may be, in one embodiment, a request/offer/order toeither buy or sell a specified quantity or units of a financialinstrument at a specified price or value.

Further processing may be performed by the order extraction module 146.The order extraction module 146 may be configured to detect, from thecontent of the message 10 provided by the message receipt module 144,characteristics of an order for a transaction to be undertaken in anelectronic marketplace. For example, the order extraction module 146 mayidentify and extract order content such as a price, product, volume, andassociated market participant for an order. The order extraction module146 may also identify and extract data indicating an action to beexecuted by the exchange computer system 100 with respect to theextracted order. The order extraction module may also identify andextract other order information and other actions associated with theextracted order. All extracted order characteristics, other information,and associated actions extracted from a message for an order may becollectively considered an order as described and referenced herein.

Order or message characteristics may include, for example, the state ofthe system after a message is received, arrival time (e.g., the time amessage arrives at the MSG or Market Segment Gateway), message type(e.g., new, modify, cancel), and the number of matches generated by amessage. Order or message characteristics may also include marketparticipant side (e.g., buy or sell) or time in force (e.g., a gooduntil end of day order that is good for the full trading day, a gooduntil canceled ordered that rests on the order book until matched, or afill or kill order that is canceled if not filled immediately).

The order may be communicated from the order extraction module 146 to anorder processing module 136. The order processing module 136 may beconfigured to interpret the communicated order, and manage the ordercharacteristics, other information, and associated actions as they areprocessed through an order book module 110 and eventually transacted onan electronic market. For example, the order processing module 136 maystore the order characteristics and other content and execute theassociated actions. In an embodiment, the order processing module mayexecute an associated action of placing the order into an order book foran electronic trading system managed by the order book module 110. In anembodiment, placing an order into an order book and/or into anelectronic trading system may be considered a primary action for anorder. The order processing module 136 may be configured in variousarrangements, and may be configured as part of the order book module110, part of the message management module 140, or as an independentfunctioning module.

The embodiments described herein utilize trade related electronicmessages such as mass quote messages, individual order messages,modification messages, cancelation messages, etc., so as to enacttrading activity in an electronic market. The trading entity and/ormarket participant may have one or multiple trading terminals associatedwith the session. Furthermore, the financial instruments may befinancial derivative products. Derivative products may include futurescontracts, options on futures contracts, futures contracts that arefunctions of or related to other futures contracts, swaps, swaptions, orother financial instruments that have their price related to or derivedfrom an underlying product, security, commodity, equity, index, orinterest rate product. In one embodiment, the orders are for optionscontracts that belong to a common option class. Orders may also be forbaskets, quadrants, other combinations of financial instruments, etc.The option contracts may have a plurality of strike prices and/orcomprise put and call contracts. A mass quote message may be received atan exchange. As used herein, an exchange computing system 100 includes aplace or system that receives and/or executes orders.

In an embodiment, a plurality of electronic messages is received fromthe network. The plurality of electronic messages may be received at anetwork interface for the electronic trading system. The plurality ofelectronic messages may be sent from market participants. The pluralityof messages may include order characteristics and be associated withactions to be executed with respect to an order that may be extractedfrom the order characteristics. The action may involve any action asassociated with transacting the order in an electronic trading system.The actions may involve placing the orders within a particular marketand/or order book of a market in the electronic trading system.

In an embodiment, the market may operate using characteristics thatinvolve collecting orders over a period of time, such as a batch auctionmarket. In such an embodiment, the period of time may be considered anorder accumulation period. The period of time may involve a beginningtime and an ending time, with orders placed in the market after thebeginning time, and the placed order matched at or after the endingtime. As such, the action associated with an order extracted from amessage may involve placing the order in the market within the period oftime. Also, electronic messages may be received prior to or after thebeginning time of the period of time.

The electronic messages may also include other data relating to theorder. In an embodiment, the other data may be data indicating aparticular time in which the action is to be executed. As such, theorder may be considered a temporally specific order. The particular timein which an action is undertaken may be established with respect to anymeasure of absolute or relative time. In an embodiment, the time inwhich an action is undertaken may be established with reference to thebeginning time of the time period or ending time of the time period in abatch auction embodiment. For example, the particular time may be aspecific amount of time, such as 10 milliseconds, prior to the endingtime of an order accumulation period in the batch auction. Further, theorder accumulation period may involve dissecting the accumulation periodinto multiple consecutive, overlapping, or otherwise divided,sub-periods of time. For example, the sub-periods may involve distincttemporal windows within the order accumulation period. As such, theparticular time may be an indicator of a particular temporal windowduring the accumulation period. For example, the particular time may bespecified as the last temporal window prior to the ending time of theaccumulation period.

In an embodiment, the electronic message may also include other actionsto be taken with respect to the order. These other actions may beactions to be executed after the initial or primary action associatedwith the order. For example, the actions may involve modifying orcanceling an already placed order. Further, in an embodiment, the otherdata may indicate order modification characteristics. For example, theother data may include a price or volume change in an order. The otheractions may involve modifying the already placed order to align with theorder modification characteristics, such as changing the price or volumeof the already placed order.

In an embodiment, other actions may be dependent actions. For example,the execution of the actions may involve a detection of an occurrence ofan event. Such triggering events may be described as other data in theelectronic message. For example, the triggering event may be a releaseof an economic statistic from an organization relating to a productbeing bought or sold in the electronic market, a receipt of pricinginformation from a correlated electronic market, a detection of a changein market sentiment derived from identification of keywords in socialmedia or public statements of officials related to a product beingbought or sold in the electronic market, and/or any other event orcombination of events which may be detected by an electronic tradingsystem.

In an embodiment, the action, or a primary action, associated with anorder may be executed. For example, an order extracted from electronicmessage order characteristics may be placed into a market, or anelectronic order book for a market, such that the order may be matchedwith other orders counter thereto.

In an embodiment involving a market operating using batch auctionprinciples, the action, such as placing the order, may be executedsubsequent to the beginning time of the order accumulation period, butprior to the ending time of the order accumulation period. Further, asindicated above, a message may also include other information for theorder, such as a particular time the action is to be executed. In suchan embodiment, the action may be executed at the particular time. Forexample, in an embodiment involving a batch auction process havingsub-periods during an order accumulation period, an order may be placedduring a specified sub-period of the order accumulation period. Thedisclosed embodiments may be applicable to batch auction processing, aswell as continuous processing.

Also, it may be noted that messages may be received prior or subsequentto the beginning time of an order accumulation period. Orders extractedfrom messages received prior to the beginning time may have theassociated actions, or primary actions such as placing the order,executed at any time subsequent to the beginning time, but prior to theending time, of the order accumulation period when no particular timefor the execution is indicated in the electronic message. In anembodiment, messages received prior to the beginning time but not havinga particular time specified will have the associated action executed assoon as possible after the beginning time. Because of this, specifying atime for order action execution may allow a distribution and moredefinite relative time of order placement so as to allow resources ofthe electronic trading system to operate more efficiently.

In an embodiment, the execution of temporally specific messages may becontrolled by the electronic trading system such that a limited ormaximum number may be executed in any particular accumulation period, orsub-period. In an embodiment, the order accumulation time periodinvolves a plurality of sub-periods involving distinct temporal windows,a particular time indicated by a message may be indicative of aparticular temporal window of the plurality of temporal windows, and theexecution of the at least one temporally specific message is limited tothe execution of a specified sub-period maximum number of temporallyspecific messages during a particular sub-period. The electronic tradingsystem may distribute the ability to submit temporally specific messageto selected market participants. For example, only five temporallyspecific messages may be allowed in any one particular period orsub-period. Further, the ability to submit temporally specific messageswithin particular periods or sub-periods may be distributed based on anytechnique. For example, the temporally specific messages for aparticular sub-period may be auctioned off or otherwise sold by theelectronic trading system to market participants. Also, the electronictrading system may distribute the temporally specific messages topreferred market participants, or as an incentive to participate in aparticular market.

In an embodiment, an event occurrence may be detected. The eventoccurrence may be the occurrence of an event that was specified as otherinformation relating to an order extracted from an electronic message.The event may be a triggering event for a modification or cancelationaction associated with an order. The event may be detected subsequent tothe execution of the first action when an electronic message furthercomprises the data representative of the event and a secondary actionassociated with the order. In an embodiment involving a market operatingon batch auction principles, the event may be detected subsequent to theexecution of a first action, placing an order, but prior to the endingtime of an order accumulation period in which the action was executed.

In an embodiment, other actions associated with an order may beexecuted. The other actions may be any action associated with an order.For example, the action may be a conditional action that is executed inresponse to a detection of an occurrence of an event. Further, in amarket operating using batch auction principles, the conditional actionmay be executed after the placement of an order during an orderaccumulation period, but in response to a detection of an occurrence ofan event prior to an ending time of the order accumulation period. Insuch an embodiment, the conditional action may be executed prior to theending time of the order accumulation period. For example, the placedorder may be canceled, or modified using other provided ordercharacteristics in the message, in response to the detection of theoccurrence of the event.

An event may be a release of an economic statistic or a fluctuation ofprices in a correlated market. An event may also be a perceptible changein market sentiment of a correlated market. A change may be perceptiblebased on a monitoring of orders or social media for keywords inreference to the market in question. For example, electronic tradingsystems may be configured to be triggered for action by a use ofkeywords during a course of ongoing public statements of officials whomay be in a position to impact markets, such as Congressional testimonyof the Chairperson of the Federal Reserve System.

The other, secondary, or supplemental action may also be considered amodification of a first action executed with respect to an order. Forexample, a cancelation may be considered a cancelation of the placementof the order. Further, a secondary action may have other data in themessage which indicates a specific time in which the secondary actionmay be executed. The specific time may be a time relative to a firstaction, or placement of the order, or relative to an accumulation periodin a batch auction market. For example, the specific time for executionof the secondary action may be at a time specified relative and prior tothe ending period of the order accumulation period. Further, multiplesecondary actions may be provided for a single order. Also, with eachsecondary action a different triggering event may be provided.

In an embodiment, an incoming transaction may be received. The incomingtransaction may be from, and therefore associated with, a marketparticipant of an electronic market managed by an electronic tradingsystem. The transaction may involve an order as extracted from areceived message, and may have an associated action. The actions mayinvolve placing an order to buy or sell a financial product in theelectronic market, or modifying or deleting such an order. In anembodiment, the financial product may be based on an associatedfinancial instrument which the electronic market is established totrade.

In an embodiment, the action associated with the transaction isdetermined. For example, it may be determined whether the incomingtransaction comprises an order to buy or sell a quantity of theassociated financial instrument or an order to modify or cancel anexisting order in the electronic market. Orders to buy or sell andorders to modify or cancel may be acted upon differently by theelectronic market. For example, data indicative of differentcharacteristics of the types of orders may be stored.

In an embodiment, data relating to the received transaction is stored.The data may be stored in any device, or using any technique, operableto store and provide recovery of data. For example, a memory 204 orcomputer readable medium 210, may be used to store data, as is describedwith respect to FIG. 2 in further detail herein. Data may be storedrelating received transactions for a period of time, indefinitely, orfor a rolling most recent time period such that the stored data isindicative of the market participant's recent activity in the electronicmarket.

If and/or when a transaction is determined to be an order to modify orcancel a previously placed, or existing, order, data indicative of theseactions may be stored. For example, data indicative of a running countof a number or frequency of the receipt of modify or cancel orders fromthe market participant may be stored. A number may be a total number ofmodify or cancel orders received from the market participant, or anumber of modify or cancel orders received from the market participantover a specified time. A frequency may be a time based frequency, as ina number of cancel or modify orders per unit of time, or a number ofcancel or modify orders received from the market participant as apercentage of total transactions received from the participant, whichmay or may not be limited by a specified length of time.

If and/or when a transaction is determined to be an order to buy or sella financial product, or financial instrument, other indicative data maybe stored. For example, data indicative of quantity and associated priceof the order to buy or sell may be stored.

Data indicative of attempts to match incoming orders may also be stored.The data may be stored in any device, or using any technique, operableto store and provide recovery of data. For example, a memory 204 orcomputer readable medium 210, may be used to store data, as is describedwith respect to FIG. 2 . The acts of the process as described herein mayalso be repeated. As such, data for multiple received transactions formultiple market participants may be stored and used as describe herein.

The order processing module 136 may also store data indicative ofcharacteristics of the extracted orders. For example, the orderprocessing module may store data indicative of orders having anassociated modify or cancel action, such as by recording a count of thenumber of such orders associated with particular market participants.The order processing module may also store data indicative of quantitiesand associated prices of orders to buy or sell a product placed in themarket order book 110, as associated with particular marketparticipants.

Also, the order processing module 136 may be configured to calculate andassociate with particular orders a value indicative of an associatedmarket participant's market activity quality, which is a valueindicative of whether the market participant's market activity increasesor tends to increase liquidity of a market. This value may be determinedbased on the price of the particular order, previously stored quantitiesof orders from the associated market participant, the previously storeddata indicative of previously received orders to modify or cancel asassociated with the market participant, and previously stored dataindicative of a result of the attempt to match previously receivedorders stored in association with the market participant. The orderprocessing module 136 may determine or otherwise calculate scoresindicative of the quality value based on these stored extracted ordercharacteristics, such as an MQI as described herein.

Further, electronic trading systems may perform actions on orders placedfrom received messages based on various characteristics of the messagesand/or market participants associated with the messages. These actionsmay include matching the orders either during a continuous auctionprocess, or at the conclusion of a collection period during a batchauction process. The matching of orders may be by any technique.

The matching of orders may occur based on a priority indicated by thecharacteristics of orders and market participants associated with theorders. Orders having a higher priority may be matched before orders ofa lower priority. This priority may be determined using varioustechniques. For example, orders that were indicated by messages receivedearlier may receive a higher priority to match than orders that wereindicated by messages received later. Also, scoring or grading of thecharacteristics may provide for priority determination. Data indicativeof order matches may be stored by a match engine and/or an orderprocessing module 136, and used for determining MQI scores of marketparticipants.

Generally, a market may involve market makers, such as marketparticipants who consistently provide bids and/or offers at specificprices in a manner typically conducive to balancing risk, and markettakers who may be willing to execute transactions at prevailing bids oroffers may be characterized by more aggressive actions so as to maintainrisk and/or exposure as a speculative investment strategy. From analternate perspective, a market maker may be considered a marketparticipant who places an order to sell at a price at which there is nopreviously or concurrently provided counter order. Similarly, a markettaker may be considered a market participant who places an order to buyat a price at which there is a previously or concurrently providedcounter order. A balanced and efficient market may involve both marketmakers and market takers, coexisting in a mutually beneficial basis. Themutual existence, when functioning properly, may facilitate liquidity inthe market such that a market may exist with “tight” bid-ask spreads(e.g., small difference between bid and ask prices) and a “deep” volumefrom many currently provided orders such that large quantity orders maybe executed without driving prices significantly higher or lower.

As such, both market participant types are useful in generatingliquidity in a market, but specific characteristics of market activitytaken by market participants may provide an indication of a particularmarket participant's effect on market liquidity. For example, a MarketQuality Index (“MQI”) of an order may be determined using thecharacteristics. An MQI may be considered a value indicating alikelihood that a particular order will improve or facilitate liquidityin a market. That is, the value may indicate a likelihood that the orderwill increase a probability that subsequent requests and transactionfrom other market participants will be satisfied. As such, an MQI may bedetermined based on a proximity of the entered price of an order to amidpoint of a current bid-ask price spread, a size of the entered order,a volume or quantity of previously filled orders of the marketparticipant associated with the order, and/or a frequency ofmodifications to previous orders of the market participant associatedwith the order. In this way, an electronic trading system may functionto assess and/or assign an MQI to received electronic messages toestablish messages that have a higher value to the system, and thus thesystem may use computing resources more efficiently by expendingresources to match orders of the higher value messages prior toexpending resources of lower value messages.

While an MQI may be applied to any or all market participants, such anindex may also be applied only to a subset thereof, such as large marketparticipants, or market participants whose market activity as measuredin terms of average daily message traffic over a limited historical timeperiod exceeds a specified number. For example, a market participantgenerating more than 500, 1,000, or even 10,000 market messages per daymay be considered a large market participant.

An exchange provides one or more markets for the purchase and sale ofvarious types of products including financial instruments such asstocks, bonds, futures contracts, options, currency, cash, and othersimilar instruments. Agricultural products and commodities are alsoexamples of products traded on such exchanges. A futures contract is aproduct that is a contract for the future delivery of another financialinstrument such as a quantity of grains, metals, oils, bonds, currency,or cash. Generally, each exchange establishes a specification for eachmarket provided thereby that defines at least the product traded in themarket, minimum quantities that must be traded, and minimum changes inprice (e.g., tick size). For some types of products (e.g., futures oroptions), the specification further defines a quantity of the underlyingproduct represented by one unit (or lot) of the product, and deliveryand expiration dates. As will be described, the exchange may furtherdefine the matching algorithm, or rules, by which incoming orders willbe matched/allocated to resting orders.

Market participants, e.g., traders, use software to send orders ormessages to the trading platform. The order identifies the product, thequantity of the product the trader wishes to trade, a price at which thetrader wishes to trade the product, and a direction of the order (i.e.,whether the order is a bid, i.e., an offer to buy, or an ask, i.e., anoffer to sell). It will be appreciated that there may be other ordertypes or messages that traders can send including requests to modify orcancel a previously submitted order.

The exchange computer system monitors incoming orders received therebyand attempts to identify, i.e., match or allocate, as described herein,one or more previously received, but not yet matched, orders, i.e.,limit orders to buy or sell a given quantity at a given price, referredto as “resting” orders, stored in an order book database, wherein eachidentified order is contra to the incoming order and has a favorableprice relative to the incoming order. An incoming order may be an“aggressor” order, i.e., a market order to sell a given quantity atwhatever may be the current resting bid order price(s) or a market orderto buy a given quantity at whatever may be the current resting ask orderprice(s). An incoming order may be a “market making” order, i.e., amarket order to buy or sell at a price for which there are currently noresting orders. In particular, if the incoming order is a bid, i.e., anoffer to buy, then the identified order(s) will be an ask, i.e., anoffer to sell, at a price that is identical to or higher than the bidprice. Similarly, if the incoming order is an ask, i.e., an offer tosell, the identified order(s) will be a bid, i.e., an offer to buy, at aprice that is identical to or lower than the offer price.

An exchange computing system may receive conditional orders or messagesfor a data object, where the order may include two prices or values: areference value and a stop value. A conditional order may be configuredso that when a product represented by the data object trades at thereference price, the stop order is activated at the stop value. Forexample, if the exchange computing system's order management moduleincludes a stop order with a stop price of 5 and a limit price of 1 fora product, and a trade at 5 (i.e., the stop price of the stop order)occurs, then the exchange computing system attempts to trade at 1 (i.e.,the limit price of the stop order). In other words, a stop order is aconditional order to trade (or execute) at the limit price that istriggered (or elected) when a trade at the stop price occurs.

Stop orders also rest on, or are maintained in, an order book to monitorfor a trade at the stop price, which triggers an attempted trade at thelimit price. In some embodiments, a triggered limit price for a stoporder may be treated as an incoming order.

Upon identification (matching) of a contra order(s), a minimum of thequantities associated with the identified order and the incoming orderis matched and that quantity of each of the identified and incomingorders become two halves of a matched trade that is sent to a clearinghouse. The exchange computer system considers each identified order inthis manner until either all of the identified orders have beenconsidered or all of the quantity associated with the incoming order hasbeen matched, i.e., the order has been filled. If any quantity of theincoming order remains, an entry may be created in the order bookdatabase and information regarding the incoming order is recordedtherein, i.e., a resting order is placed on the order book for theremaining quantity to await a subsequent incoming order counter thereto.

It should be appreciated that in electronic trading systems implementedvia an exchange computing system, a trade price (or match value) maydiffer from (i.e., be better for the submitter, e.g., lower than asubmitted buy price or higher than a submitted sell price) the limitprice that is submitted, e.g., a price included in an incoming message,or a triggered limit price from a stop order.

As used herein, “better” than a reference value means lower than thereference value if the transaction is a purchase transaction, and higherthan the reference value if the transaction is a sell transaction. Saidanother way, for purchase transactions, lower values are better, and forrelinquish or sell transactions, higher values are better.

Traders access the markets on a trading platform using trading softwarethat receives and displays at least a portion of the order book for amarket, i.e., at least a portion of the currently resting orders,enables a trader to provide parameters for an order for the producttraded in the market, and transmits the order to the exchange computersystem. The trading software typically includes a graphical userinterface to display at least a price and quantity of some of theentries in the order book associated with the market. The number ofentries of the order book displayed is generally preconfigured by thetrading software, limited by the exchange computer system, or customizedby the user. Some graphical user interfaces display order books ofmultiple markets of one or more trading platforms. The trader may be anindividual who trades on his/her behalf, a broker trading on behalf ofanother person or entity, a group, or an entity. Furthermore, the tradermay be a system that automatically generates and submits orders.

If the exchange computer system identifies that an incoming market ordermay be filled by a combination of multiple resting orders, e.g., theresting order at the best price only partially fills the incoming order,the exchange computer system may allocate the remaining quantity of theincoming, i.e., that which was not filled by the resting order at thebest price, among such identified orders in accordance withprioritization and allocation rules/algorithms, referred to as“allocation algorithms” or “matching algorithms,” as, for example, maybe defined in the specification of the particular financial product ordefined by the exchange for multiple financial products. Similarly, ifthe exchange computer system identifies multiple orders contra to theincoming limit order and that have an identical price which is favorableto the price of the incoming order, i.e., the price is equal to orbetter, e.g., lower if the incoming order is a buy (or instruction topurchase) or higher if the incoming order is a sell (or instruction torelinquish), than the price of the incoming order, the exchange computersystem may allocate the quantity of the incoming order among suchidentified orders in accordance with the matching algorithms as, forexample, may be defined in the specification of the particular financialproduct or defined by the exchange for multiple financial products.

An exchange responds to inputs, such as trader orders, cancelation,etc., in a manner as expected by the market participants, such as basedon market data, e.g., prices, available counter-orders, etc., to providean expected level of certainty that transactions will occur in aconsistent and predictable manner and without unknown or unascertainablerisks. Accordingly, the method by which incoming orders are matched withresting orders must be defined so that market participants have anexpectation of what the result will be when they place an order or haveresting orders and an incoming order is received, even if the expectedresult is, in fact, at least partially unpredictable due to somecomponent of the process being random or arbitrary or due to marketparticipants having imperfect or less than all information, e.g.,unknown position of an order in an order book. Typically, the exchangedefines the matching/allocation algorithm that will be used for aparticular financial product, with or without input from the marketparticipants. Once defined for a particular product, thematching/allocation algorithm is typically not altered, except inlimited circumstance, such as to correct errors or improve operation, soas not to disrupt trader expectations. It will be appreciated thatdifferent products offered by a particular exchange may use differentmatching algorithms.

For example, a first-in/first-out (FIFO) matching algorithm, alsoreferred to as a “Price Time” algorithm, considers each identified ordersequentially in accordance with when the identified order was received.The quantity of the incoming order is matched to the quantity of theidentified order at the best price received earliest, then quantities ofthe next earliest best price orders, and so on until the quantity of theincoming order is exhausted. Some product specifications define the useof a pro-rata matching algorithm, wherein a quantity of an incomingorder is allocated to each of plurality of identified ordersproportionally. Some exchange computer systems provide a priority tocertain standing orders in particular markets. An example of such anorder is the first order that improves a price (i.e., improves themarket) for the product during a trading session. To be given priority,the trading platform may require that the quantity associated with theorder is at least a minimum quantity. Further, some exchange computersystems cap the quantity of an incoming order that is allocated to astanding order on the basis of a priority for certain markets. Inaddition, some exchange computer systems may give a preference to orderssubmitted by a trader who is designated as a market maker for theproduct. Other exchange computer systems may use other criteria todetermine whether orders submitted by a particular trader are given apreference. Typically, when the exchange computer system allocates aquantity of an incoming order to a plurality of identified orders at thesame price, the trading host allocates a quantity of the incoming orderto any orders that have been given priority. The exchange computersystem thereafter allocates any remaining quantity of the incoming orderto orders submitted by traders designated to have a preference, and thenallocates any still remaining quantity of the incoming order using theFIFO or pro-rata algorithms. Pro-rata algorithms used in some marketsmay require that an allocation provided to a particular order inaccordance with the pro-rata algorithm must meet at least a minimumallocation quantity. Any orders that do not meet or exceed the minimumallocation quantity are allocated to on a FIFO basis after the pro-rataallocation (if any quantity of the incoming order remains). Moreinformation regarding order allocation may be found in U.S. Pat. No.7,853,499, the entirety of which is incorporated by reference herein andrelied upon.

Other examples of matching algorithms which may be defined forallocation of orders of a particular financial product include:

Price Explicit Time

Order Level Pro Rata

Order Level Priority Pro Rata

Preference Price Explicit Time

Preference Order Level Pro Rata

Preference Order Level Priority Pro Rata

Threshold Pro-Rata

Priority Threshold Pro-Rata

Preference Threshold Pro-Rata

Priority Preference Threshold Pro-Rata

Split Price-Time Pro-Rata

For example, the Price Explicit Time trading policy is based on thebasic Price Time trading policy with Explicit Orders having priorityover Implied Orders at the same price level. The order of traded volumeallocation at a single price level may therefore be:

Explicit order with oldest timestamp first. Followed by

Any remaining explicit orders in timestamp sequence (First In, FirstOut—FIFO) next. Followed by

Implied order with oldest timestamp next. Followed by

Any remaining implied orders in timestamp sequence (FIFO).

In Order Level Pro Rata, also referred to as Price Pro Rata, priority isgiven to orders at the best price (highest for a bid, lowest for anoffer). If there are several orders at this best price, equal priorityis given to every order at this price and incoming business is dividedamong these orders in proportion to their order size. The Pro Ratasequence of events is:

1. Extract all potential matching orders at best price from the orderbook into a list.

2. Sort the list by order size, largest order size first. If equal ordersizes, oldest timestamp first. This is the matching list.

3. Find the ‘Matching order size, which is the total size of all theorders in the matching list.

4. Find the ‘tradable volume’, which is the smallest of the matchingvolume and the volume left to trade on the incoming order.

5. Allocate volume to each order in the matching list in turn, startingat the beginning of the list. If all the tradable volume gets used up,orders near the end of the list may not get allocation.

6. The amount of volume to allocate to each order is given by theformula:(Order volume/Matching volume)*Tradable volume

The result is rounded down (for example, 21.99999999 becomes 21) unlessthe result is less than 1, when it becomes 1.

7. If tradable volume remains when the last order in the list had beenallocated to, return to step 3.

Note: The matching list is not re-sorted, even though the volume haschanged. The order which originally had the largest volume is still atthe beginning of the list.

8. If there is still volume left to trade on the incoming order, repeatthe entire algorithm at the next price level.

Order Level Priority Pro Rata, also referred to as Threshold Pro Rata,is similar to the Price (or ‘Vanilla’) Pro Rata algorithm but has avolume threshold defined. Any pro rata allocation below the thresholdwill be rounded down to 0. The initial pass of volume allocation iscarried out in using pro rata; the second pass of volume allocation iscarried out using Price Explicit Time. The Threshold Pro Rata sequenceof events is:

1. Extract all potential matching orders at best price from the orderbook into a list.

2. Sort the list by explicit time priority, oldest timestamp first. Thisis the matching list.

3. Find the ‘Matching volume’, which is the total volume of all theorders in the matching list.

4. Find the ‘tradable volume’, which is the smallest of the matchingvolume and the volume left to trade on the incoming order.

5. Allocate volume to each order in the matching list in turn, startingat the beginning of the list.

6. The amount of volume to allocate to each order is given by theformula:(Order volume/Matching volume)*Tradable volume

The result is rounded down to the nearest lot (for example, 21.99999999becomes 21) unless the result is less than the defined threshold inwhich case it is rounded down to 0.

7. If tradable volume remains when the last order in the list had beenallocated to, the remaining volume is allocated in time priority to thematching list.

8. If there is still volume left to trade on the incoming order, repeatthe entire algorithm at the next price level.

In the Split Price Time Pro-Rata algorithms, a Price Time Percentageparameter is defined. This percentage of the matching volume at eachprice is allocated by the Price Explicit Time algorithm and theremainder is allocated by the Threshold Pro-Rata algorithm. There arefour variants of this algorithm, with and without Priority and/orPreference. The Price Time Percentage parameter is an integer between 1and 99. (A percentage of zero would be equivalent to using therespective existing Threshold Pro-Rata algorithm, and a percentage of100 would be equivalent to using the respective existing Price Timealgorithm). The Price Time Volume will be the residual incoming volume,after any priority and/or Preference allocation has been made,multiplied by the Price Time Percentage. Fractional parts will berounded up, so the Price Time Volume will always be at least 1 lot andmay be the entire incoming volume. The Price Time Volume is allocated toresting orders in strict time priority. Any remaining incoming volumeafter the Price Time Volume has been allocated will be allocatedaccording to the respective Threshold Pro-Rata algorithm. The sequenceof allocation, at each price level, is therefore:

1. Priority order, if applicable

2. Preference allocation, if applicable

3. Price Time allocation of the configured percentage of incoming volume

4. Threshold Pro-Rata allocation of any remaining incoming volume

5. Final allocation of any leftover lots in time sequence.

Any resting order may receive multiple allocations from the variousstages of the algorithm.

It will be appreciated that there may be other allocation algorithms,including combinations of algorithms, now available or later developed,which may be utilized with the disclosed embodiments, and all suchalgorithms are contemplated herein. In one embodiment, the disclosedembodiments may be used in any combination or sequence with theallocation algorithms described herein.

One exemplary system for matching is described in U.S. patentapplication Ser. No. 13/534,499, filed on Jun. 27, 2012, entitled“Multiple Trade Matching Algorithms,” published as U.S. PatentApplication Publication No. 2014/0006243 A1, the entirety of which isincorporated by reference herein and relied upon, discloses an adaptivematch engine which draws upon different matching algorithms, e.g., therules which dictate how a given order should be allocated amongqualifying resting orders, depending upon market conditions, to improvethe operation of the market. For example, for a financial product, suchas a futures contract, having a future expiration date, the match enginemay match incoming orders according to one algorithm when the remainingtime to expiration is above a threshold, recognizing that during thisportion of the life of the contract, the market for this product islikely to have high volatility. However, as the remaining time toexpiration decreases, volatility may decrease. Accordingly, when theremaining time to expiration falls below the threshold, the match engineswitches to a different match algorithm which may be designed toencourage trading relative to the declining trading volatility. Thereby,by conditionally switching among matching algorithms within the samefinancial product, as will be described, the disclosed match engineautomatically adapts to the changing market conditions of a financialproduct, e.g., a limited life product, in a non-preferential manner,maintaining fair order allocation while improving market liquidity,e.g., over the life of the product.

In one implementation, this trading system may evaluate marketconditions on a daily basis and, based thereon, change the matchingalgorithm between daily trading sessions, i.e., when the market isclosed, such that when the market reopens, a new trading algorithm is ineffect for the particular product. As will be described, the disclosedembodiments may facilitate more frequent changes to the matchingalgorithms so as to dynamically adapt to changing market conditions,e.g., intra-day changes, and even intra-order matching changes. It willbe further appreciated that hybrid matching algorithms, which match partof an order using one algorithm and another part of the order using adifferent algorithm, may also be used.

With respect to incoming orders, some traders, such as automated and/oralgorithmic traders, attempt to respond to market events, such as tocapitalize upon a mispriced resting order or other market inefficiency,as quickly as possible. This may result in penalizing the trader whomakes an errant trade, or whose underlying trading motivations havechanged, and who cannot otherwise modify or cancel their order fasterthan other traders can submit trades there against. It may consideredthat an electronic trading system that rewards the trader who submitstheir order first creates an incentive to either invest substantialcapital in faster trading systems, participate in the marketsubstantially to capitalize on opportunities (aggressor side/lower risktrading) as opposed to creating new opportunities (market making/higherrisk trading), modify existing systems to streamline business logic atthe cost of trade quality, or reduce one's activities and exposure inthe market. The result may be a lesser quality market and/or reducedtransaction volume, and corresponding thereto, reduced fees to theexchange.

With respect to resting orders, allocation/matching suitable restingorders to match against an incoming order can be performed, as describedherein, in many different ways. Generally, it will be appreciated thatallocation/matching algorithms are only needed when the incoming orderquantity is less than the total quantity of the suitable resting ordersas, only in this situation, is it necessary to decide which restingorder(s) will not be fully satisfied, which trader(s) will not get theirorders filled. It can be seen from the above descriptions of thematching/allocation algorithms, that they fall generally into threecategories: time priority/first-in-first-out (“FIFO”), pro rata, or ahybrid of FIFO and pro rata.

As described above, matching systems apply a single algorithm, orcombined algorithm, to all of the orders received for a particularfinancial product to dictate how the entire quantity of the incomingorder is to be matched/allocated. In contrast, the disclosed embodimentsmay apply different matching algorithms, singular or combined, todifferent orders, as will be described, recognizing that the allocationalgorithms used by the trading host for a particular market may, forexample, affect the liquidity of the market. Specifically, someallocation algorithms may encourage traders to submit more orders, whereeach order is relatively small, while other allocation algorithmsencourage traders to submit larger orders. Other allocation algorithmsmay encourage a trader to use an electronic trading system that canmonitor market activity and submit orders on behalf of the trader veryquickly and without intervention. As markets and technologies availableto traders evolve, the allocation algorithms used by trading hosts mustalso evolve accordingly to enhance liquidity and price discovery inmarkets, while maintaining a fair and equitable market.

FIFO generally rewards the first trader to place an order at aparticular price and maintains this reward indefinitely. So if a traderis the first to place an order at price X, no matter how long that orderrests and no matter how many orders may follow at the same price, assoon as a suitable incoming order is received, that first trader will bematched first. This “first mover” system may commit other traders topositions in the queue after the first move traders. Furthermore, whileit may be beneficial to give priority to a trader who is first to placean order at a given price because that trader is, in effect, taking arisk, the longer that the trader's order rests, the less beneficial itmay be. For instance, it could deter other traders from adding liquidityto the marketplace at that price because they know the first mover (andpotentially others) already occupies the front of the queue.

With a pro rata allocation, incoming orders are effectively split amongsuitable resting orders. This provides a sense of fairness in thateveryone may get some of their order filled. However, a trader who tooka risk by being first to place an order (a “market turning” order) at aprice may end up having to share an incoming order with a much latersubmitted order. Furthermore, as a pro rata allocation distributes theincoming order according to a proportion based on the resting orderquantities, traders may place orders for large quantities, which theyare willing to trade but may not necessarily want to trade, in order toincrease the proportion of an incoming order that they will receive.This results in an escalation of quantities on the order book andexposes a trader to a risk that someone may trade against one of theseorders and subject the trader to a larger trade than they intended. Inthe typical case, once an incoming order is allocated against theselarge resting orders, the traders subsequently cancel the remainingresting quantity which may frustrate other traders. Accordingly, as FIFOand pro rata both have benefits and problems, exchanges may try to usehybrid allocation/matching algorithms which attempt to balance thesebenefits and problems by combining FIFO and pro rata in some manner.However, hybrid systems define conditions or fixed rules to determinewhen FIFO should be used and when pro rata should be used. For example,a fixed percentage of an incoming order may be allocated using a FIFOmechanism with the remainder being allocated pro rata.

Traders trading on an exchange including, for example, exchange computersystem 100, often desire to trade multiple financial instruments incombination. Each component of the combination may be called a leg.Traders can submit orders for individual legs or in some cases cansubmit a single order for multiple financial instruments in anexchange-defined combination. Such orders may be called a strategyorder, a spread order, or a variety of other names.

A spread instrument may involve the simultaneous purchase of onesecurity and sale of a related security, called legs, as a unit. Thelegs of a spread instrument may be options or futures contracts, orcombinations of the two. Trades in spread instruments are executed toyield an overall net position whose value, called the spread, depends onthe difference between the prices of the legs. Spread instruments may betraded in an attempt to profit from the widening or narrowing of thespread, rather than from movement in the prices of the legs directly.Spread instruments are either “bought” or “sold” depending on whetherthe trade will profit from the widening or narrowing of the spread,respectively. An exchange often supports trading of common spreads as aunit rather than as individual legs, thus ensuring simultaneousexecution of the two legs, eliminating the execution risk of one legexecuting but the other failing.

One example of a spread instrument is a calendar spread instrument. Thelegs of a calendar spread instrument differ in delivery date of theunderlier. The leg with the earlier occurring delivery date is oftenreferred to as the lead month contract. A leg with a later occurringdelivery date is often referred to as a deferred month contract. Anotherexample of a spread instrument is a butterfly spread instrument, whichincludes three legs having different delivery dates. The delivery datesof the legs may be equidistant to each other. The counterparty ordersthat are matched against such a combination order may be individual,“outright” orders or may be part of other combination orders.

In other words, an exchange may receive, and hold or let rest on thebooks, outright orders for individual contracts as well as outrightorders for spreads associated with the individual contracts. An outrightorder (for either a contract or for a spread) may include an outrightbid or an outright offer, although some outright orders may bundle manybids or offers into one message (often called a mass quote).

A spread is an order for the price difference between two contracts.This results in the trader holding a long and a short position in two ormore related futures or options on futures contracts, with the objectiveof profiting from a change in the price relationship. A typical spreadproduct includes multiple legs, each of which may include one or moreunderlying financial instruments. A butterfly spread product, forexample, may include three legs. The first leg may consist of buying afirst contract. The second leg may consist of selling two of a secondcontract. The third leg may consist of buying a third contract. Theprice of a butterfly spread product may be calculated as:Butterfly=Leg1−2×Leg2+Leg3  (equation 1)

In the above equation, Leg1 equals the price of the first contract, Leg2equals the price of the second contract and Leg3 equals the price of thethird contract. Thus, a butterfly spread could be assembled from twointer-delivery spreads in opposite directions with the center deliverymonth common to both spreads.

A calendar spread, also called an intra-commodity spread, for futures isan order for the simultaneous purchase and sale of the same futurescontract in different contract months (i.e., buying a September CME S&P500® futures contract and selling a December CME S&P 500 futurescontract).

A crush spread is an order, usually in the soybean futures market, forthe simultaneous purchase of soybean futures and the sale of soybeanmeal and soybean oil futures to establish a processing margin. A crackspread is an order for a specific spread trade involving simultaneouslybuying and selling contracts in crude oil and one or more derivativeproducts, typically gasoline and heating oil. Oil refineries may trade acrack spread to hedge the price risk of their operations, whilespeculators attempt to profit from a change in the oil/gasoline pricedifferential.

A straddle is an order for the purchase or sale of an equal number ofputs and calls, with the same strike price and expiration dates. A longstraddle is a straddle in which a long position is taken in both a putand a call option. A short straddle is a straddle in which a shortposition is taken in both a put and a call option. A strangle is anorder for the purchase of a put and a call, in which the options havethe same expiration and the put strike is lower than the call strike,called a long strangle. A strangle may also be the sale of a put and acall, in which the options have the same expiration and the put strikeis lower than the call strike, called a short strangle. A pack is anorder for the simultaneous purchase or sale of an equally weighted,consecutive series of four futures contracts, quoted on an average netchange basis from the previous day's settlement price. Packs provide areadily available, widely accepted method for executing multiple futurescontracts with a single transaction. A bundle is an order for thesimultaneous sale or purchase of one each of a series of consecutivefutures contracts. Bundles provide a readily available, widely acceptedmethod for executing multiple futures contracts with a singletransaction.

Thus an exchange may match outright orders, such as individual contractsor spread orders (which as discussed herein could include multipleindividual contracts). The exchange may also imply orders from outrightorders. For example, exchange computer system 100 may derive, identifyand/or advertise, publish, display or otherwise make available fortrading orders based on outright orders.

For example, two different outright orders may be resting on the books,or be available to trade or match. The orders may be resting becausethere are no outright orders that match the resting orders. Thus, eachof the orders may wait or rest on the books until an appropriateoutright counteroffer comes into the exchange or is placed by a user ofthe exchange. The orders may be for two different contracts that onlydiffer in delivery dates. It should be appreciated that such orderscould be represented as a calendar spread order. Instead of waiting fortwo appropriate outright orders to be placed that would match the twoexisting or resting orders, the exchange computer system may identify ahypothetical spread order that, if entered into the system as a tradablespread order, would allow the exchange computer system to match the twooutright orders. The exchange may thus advertise or make available aspread order to users of the exchange system that, if matched with atradable spread order, would allow the exchange to also match the tworesting orders. Thus, the match engine is configured to detect that thetwo resting orders may be combined into an order in the spreadinstrument and accordingly creates an implied order.

In other words, the exchange's matching system may imply thecounteroffer order by using multiple orders to create the counterofferorder. Examples of spreads include implied IN, implied OUT, 2nd- ormultiple-generation, crack spreads, straddle, strangle, butterfly, andpack spreads. Implied IN spread orders are derived from existingoutright orders in individual legs. Implied OUT outright orders arederived from a combination of an existing spread order and an existingoutright order in one of the individual underlying legs. Implied orderscan fill in gaps in the market and allow spreads and outright futurestraders to trade in a product where there would otherwise have beenlittle or no available bids and asks.

For example, implied IN spreads may be created from existing outrightorders in individual contracts where an outright order in a spread canbe matched with other outright orders in the spread or with acombination of orders in the legs of the spread. An implied OUT spreadmay be created from the combination of an existing outright order in aspread and an existing outright order in one of the individualunderlying leg. An implied IN or implied OUT spread may be created whenan electronic match system simultaneously works synthetic spread ordersin spread markets and synthetic orders in the individual leg marketswithout the risk to the trader/broker of being double filled or filledon one leg and not on the other leg.

By linking the spread and outright markets, implied spread tradingincreases market liquidity. For example, a buy in one contract month andan offer in another contract month in the same futures contract cancreate an implied market in the corresponding calendar spread. Anexchange may match an order for a spread product with another order forthe spread product. Some existing exchanges attempt to match orders forspread products with multiple orders for legs of the spread products.With such systems, every spread product contract is broken down into acollection of legs and an attempt is made to match orders for the legs.Examples of implied spread trading include those disclosed in U.S.Patent Publication No. 2005/0203826, entitled “Implied Spread TradingSystem,” the entire disclosure of which is incorporated by referenceherein and relied upon. Examples of implied markets include thosedisclosed in U.S. Pat. No. 7,039,610, entitled “Implied Market TradingSystem,” the entire disclosure of which is incorporated by referenceherein and relied upon.

As an intermediary to electronic trading transactions, the exchangebears a certain amount of risk in each transaction that takes place. Tothat end, the clearing house implements risk management mechanisms toprotect the exchange. One or more of the modules of the exchangecomputer system 100 may be configured to determine settlement prices forconstituent contracts, such as deferred month contracts, of spreadinstruments, such as for example, settlement module 142.

One or more of the above-described modules of the exchange computersystem 100 may be used to gather or obtain data to support thesettlement price determination, as well as a subsequent marginrequirement determination. For example, the order book module 110 and/orthe market data module 112 may be used to receive, access, or otherwiseobtain market data, such as bid-offer values of orders currently on theorder books. The trade database 108 may be used to receive, access, orotherwise obtain trade data indicative of the prices and volumes oftrades that were recently executed in a number of markets. In somecases, transaction data (and/or bid/ask data) may be gathered orobtained from open outcry pits and/or other sources and incorporatedinto the trade and market data from the electronic trading system(s).

In some cases, the outright market for the deferred month or otherconstituent contract may not be sufficiently active to provide marketdata (e.g., bid-offer data) and/or trade data. Spread instrumentsinvolving such contracts may nonetheless be made available by theexchange. The market data from the spread instruments may then be usedto determine a settlement price for the constituent contract. Thesettlement price may be determined, for example, through a boundaryconstraint-based technique based on the market data (e.g., bid-offerdata) for the spread instrument, as described in U.S. Patent PublicationNo. 2015/0073962 entitled “Boundary Constraint-Based Settlement inSpread Markets” (“the '962 Publication”), the entire disclosure of whichis incorporated by reference herein and relied upon. Settlement pricedetermination techniques may be implemented to cover calendar monthspread instruments having different deferred month contracts.

The disclosed system may facilitate deterministic behavior, as describedin the '224 application. In particular, in one embodiment, anarchitecture for an electronic trading system is disclosed. As will bedescribed in more detail below with respect to FIG. 4 , the architectureimplements a set of match engines, which may be identical/redundant ordifferent, or a combination thereof. For example, in one embodiment,they may be redundant to improve fault tolerance. This set of matchengines may include two or more match engines, such as three or fivematch engines.

In one embodiment, the exchange computing system may include two or morecompletely different implementations of a match engine (for example, onewritten entirely in Java, another written completely independently inC++, Python, etc.), whereby the internal states of the match enginescould be different as they process the same input data stream, but allimplementations of the match engines may be configured/programmed toformally provide the same output (e.g., the results should be the same,but the exact computational and algorithmic steps by which the softwarearrives at the results can vary).

Incoming transactions, e.g. orders to trade, are processed by an Orderercomponent, i.e., a transaction receiver, of the architecture which mayaugment each transaction with time signal data, or data indicative of atime of receipt or time or sequence indicative of a temporal orsequential relationship between a received transaction and otherreceived transactions. The time signal data may be based on, forexample, a system clock or the Orderer. The Orderer may additionallyserialize, or otherwise sequence, the incoming transactions based ontheir order of receipt by the Orderer. In this manner, the Orderer isthe point of determinism for the system as each transaction is augmentedwith an indicium, such as a time stamp or other sequence encoding,indicative of its order of receipt relative to the other receivedtransactions, ensuring their ordered processing thereafter.

The sequenced transactions may then be substantially simultaneouslycommunicated, e.g. broadcasted, to each match engine of the set of matchengines, which may be intended to be redundant to each other, each ofwhich then processes the transaction, based on the sequencing impartedby the orderer, and determines a result, referred to as a match event,indicative, for example, of whether the order to trade was matched witha prior order, or reflective of some other change in a state of anelectronic marketplace, etc. As used herein, match events generallyrefer to information, messages, alerts, signals or other indicators,which may be electronically or otherwise transmitted or communicated,indicative of a status of, or updates/changes to, a market/order book,i.e. one or more databases/data structures which store and/or maintaindata indicative of a market for, e.g. current offers to buy and sell, afinancial product, described in more detail below, or the match enginesassociated therewith, and may include messages which are indicative of,or otherwise generated based upon:

-   -   REST—indicates that a new order has been placed on an order book        but not matched with a previously received order counter thereto        (this event may also be indicated by a series of price        improvement match events or deep book change match events, which        may both be considered rests);    -   FILL—indicates that a new incoming order matched with one or        more previously received but unsatisfied orders which were        resting on an order book resulting in a trade;    -   MOD—indicates that an existing/resting order's values (price,        quantity, etc.) have been modified/changed;    -   CANCEL—indicates that an existing/resting order has been        canceled/removed;    -   MARKET OPEN—indicates that a market for trading has opened;    -   MARKET CLOSE—indicates that a market for trading has closed;    -   MARKET HALT—indicates that a market for trading has been paused        for some period of time due to internal restrictions (usually        that price velocity has gotten too high);    -   NEW PRODUCT—indicates that a new product is available;    -   CLOSE/CANCEL PRODUCT—indicates that a product is removed from        trading;    -   PRODUCT TRANSITION—indicates that the market for a product is        transitioning state, e.g. opening, closing, pausing, or        reserving;    -   TRADING SCHEDULES—indicates the market hours;    -   FIRST TRADE—indicates that a first trade for a product has been        placed;    -   PRODUCT LIMITS—indicates the price limits for a product;    -   TRADE—indicates that a trade for a particular product has        occurred;    -   BUST—indicates that a trade has been invalidated;    -   RFQ—indicates a request for quote, e.g. a request to send in        orders for a particular product;    -   HEARTBEAT—indicates an administrative message of the electronic        trading system used to ensure communications of market events        are functioning properly;        or other event or status.

In one embodiment, even though the match engines may process the samefinancial transactions, each match engine may generally operateasynchronously with respect to the remaining match engines simplifyingthe implementation thereof, i.e. without complex interconnection orsynchronization there between. Where the system is designed for thematch engines to be redundant, the Decider, discussed below, may lookfor consistency in the results output of the match engines. If howeverthe match engines are not intended to be redundant to each other, theresults may not be compared or checked for consistency. Whether or notthe results are desired to be identical or not may be an implementationfeature. In one embodiment, the match engines may all attempt to processthe same financial transaction in the same way, such that at any givenmoment, the match engines are synchronized.

As each match engine generates its result/match event, that result/matchevent is communicated to a Decider component of the architecture. TheDecider collects the results/match events from at least a subset of theset of match engines and determines, of the received results, which isthe correct result. In one embodiment, this determination may be basedon a defined quorum vote, i.e. minimum number of match engines whoseresults must agree. This quorum may be a majority or super-majority ofthe match engines. The determined result/match event may then beprovided to a market data component, for example, which updates datarecords, e.g. an order book, reflective of the match event and/orotherwise reports the match event to the market participants involved inthe transaction, as well as the market as a whole, as will be described.

The Orderer component may also receive administrative instructionsintended for the match engines. Thus, the Orderer, e.g., transactionreceiver 410, may receive messages intended for the match engines, e.g.,transaction processors 408, including instructions and transactions frommultiple sources. For example, the transaction receiver 410 receivesfinancial transactions from market participants which are sent to thetransaction processors 408, and also receives administrativeinstructions from administrative systems 416 which are also sent to thetransaction processors 408.

Moreover, each match engine, which may be implemented as a transactionprocessor, may receive a set of instructions independent of thefinancial transaction messages and administrative instructions, and maybe configured to execute such instructions at a scheduled time. Thescheduled instructions may be received, for example, by an administratorof the exchange computing system that includes the multiple transactionprocessors, i.e., the multiple match engines. In one embodiment, theadministrative systems 416 may send to administrative instructions thatare both scheduled (i.e., intended to occur at a predetermined time) andun-scheduled to the match engines.

The scheduled instructions may include instructions to cause a processorto perform at least one of: garbage collection; start processingfinancial transactions; stop processing financial transactions; updatesoftware for the transaction processor; enable the processing offinancial transactions; disable the processing of financialtransactions.

In one embodiment, where the transaction processors are implemented asmatch engines, starting and stopping processing of financialtransactions may include opening and closing an electronic marketplacefor a financial product, respectively.

In the case where the match engines are purposed to perform the same setof operations, each match engine may receive the same set of scheduledinstructions, with the intention or desire that the match enginesperform those scheduled instructions simultaneously, e.g., at the actualsame time, or as close to it as possible, or in a coordinated manner,and in the same sequence with respect to the financial transactionmessages. To this end, each scheduled instruction may include scheduledtime data when the instruction should be executed. Each match engine maybe configured to process or execute the scheduled instructions based onthe time signal data augmented to each incoming financial transaction.The match engines may accordingly process the scheduled instructionsbased on, or relative to, a separately provided reference clock/clocktime signal, e.g., time signal data which is augmented to each receivedmessage by the orderer.

Thus, in one embodiment, the system may execute previously received,scheduled instructions upon receiving a message including correspondingtime signal data that is augmented to each incoming financialtransaction. The receipt of a message including time signal data thatcorresponds to scheduled time data stored within previously received,scheduled instructions thus may act as a trigger for the match enginesto execute the corresponding scheduled instructions.

The time signal data augmented to each incoming message may be in thesame units as the scheduled time data included in the scheduledinstructions. Thus, the match engine can readily compare the time signaldata to the scheduled time data and determine whether the time signaldata and the scheduled time data correspond to each other.

Accordingly, fault tolerant operation may be achieved via the matchengines coupled with the Decider component which coalesces the resultstherefrom while deterministic operation is preserved via the sequencingof transactions by the Orderer component. Further, maintenance may besimplified by allowing faulty match engines to be reset or otherwiseswapped out without impeding the processing of transactions. Inaddition, processing tasks, such as housekeeping tasks, e.g. garbagecollection, which the processor implementing a match engine mustperiodically perform and which may impede that match engine's ability toprocess transactions, may be tolerated. Indeed, such tasks may be thescheduled or unscheduled administrative instructions referenced above.For example, a set of redundant match engines may be designed such thatonly one match engine at a time may perform such housekeeping oradministrative tasks, while the remaining match engines continue toprocess transactions as usual. This may be implemented by transmitting adirective or administrative transaction to all of the match enginesinjected into the transaction stream, such as by an administrativecomponent, e.g., Administrative Systems 416, coupled therewith. Thedirective/administrative transaction may act as a synchronizingtransaction and/or a direction to instruct each match engine when toperform its housekeeping/maintenance tasks. The Decider component, viaits normal operation as was described, may then ignore the lack of aresult/match event from the particular match engine allowed to performits housekeeping tasks, assuming it has received results from asufficient number of the remaining match engines. In one implementation,the Decider may be further operative to determine when a match enginebecomes non-responsive or otherwise faulty. In this embodiment, thethreshold for determining a non-response match engine may be set to avalue that is greater than the time it would take a match engine toperform its housekeeping tasks to avoid identifying that match engine asnon-responsive. Once determined to be faulty, the match engine couldthen be removed from the quorum wherein the Decider evaluates anddetermines the result based on the results received from the remainingmatch engines using a modified quorum value, i.e. a lesser number ofconcurring results, to determine the correct result. It will beappreciated that the faulty match engine could then be rebooted,reinstated, restarted or otherwise replaced with the Decider thenrestoring full operation therewith.

As was described above, the Orderer component, by the nature of its roleto sequence transactions for subsequent processing, may be designatedthe de facto point of determinism, alone or in concert with the networkinfrastructure which directs transactions thereto, for the system as,based on when it perceives receipt of transactions, defines the order inwhich those transactions will be further processed. Accordingly, it maybe desirable to locate the Orderer close to the point at whichtransactions ingress, or are otherwise received by, the electronictrading system. In one implementation, the Orderer is implemented usingan FPGA coupled, or otherwise integrated with, the networkswitch/gateway into which transactions are received from sourcesexternal to the electronic trading system. This allows the Orderer toreceive transactions as quickly as possible, such as by bypassing thetypical network hardware and software infrastructure. The networkswitch/gateway may then be further coupled with the set of matchengines, which may be redundant to each other, allowing the Orderer toquickly communicate the sequenced transactions thereto.

Similarly, it may be further advantageous to report match events tomarket participants as quickly as possible. Accordingly, in oneembodiment, the Decider may also be implemented in an FPGA, either thesame as or different from the FPGA in which the Orderer is implemented,also coupled with the network switch/gateway which couples theelectronic trading system with the external infrastructure thatinterconnects with the market participants. In this manner, match eventscan be communicated out of the electronic trading system as quickly aspossible.

It will further be appreciated that to increase fault tolerance of theelectronic trading system, the entire architecture, i.e. orderer,redundant match engines and decider, which may be collectively referredto as a “match engine quorum,” may also be replicated in a redundantmanner.

Fault tolerance implemented in an exchange computing system is alsodescribed in, for example, U.S. Pat. No. 7,434,096 “Match server for afinancial exchange having fault tolerant operation”, U.S. Pat. No.7,480,827 “Fault Tolerance And Failover Using Active Copy-Cat”, and U.S.Pat. No. 8,041,985 “Match Server For A Financial Exchange Having FaultTolerant Operation” herein incorporated by reference.

FIG. 4 shows a block diagram depicting, in more detail, the match engine106 and order processing 136 function of the electronic trading system100, according to one embodiment. It will be understood that numbersshown in parentheses next to arrows in this figure and in the otherfigures are indicative of one exemplary order of data flow through thedepicted system and show how data/transactions enter the electronictrading system's 100 physical network layer 402 and are routed,processed and/or transformed by the components shown in the figure anddescribed herein. As shown in FIG. 4 , the electronic trading system 100includes an interconnecting infrastructure, such as a physicalcommunication network 402, which may include network devices such asgateways, switches, and interconnecting media there between, such asbackplane interconnects, optical and electrical communications media orother wired or wireless interconnect. The interconnecting infrastructuregenerally couples the various components of the electronic tradingsystem 100 together and with market participant devices 404 as wasdescribed.

The electronic trading system 100, as described above, includes a matchengine function 106 which may be implemented by one or more sets 406 oftransaction processors 408, i.e. match engines. While a single set 406of match engines 408 will be described herein, it will be appreciatedthat many such sets 406 may be implemented both to improve faulttolerance through redundant operation and to increase the transactionhandling capacity of the electronic trading system 100.

As used herein, a “match engine” 106 refers to either a match engine ora redundant set of match engines as described. Each of the plurality ofmatch engines, e.g., redundant sets, implement at least one market, ororder book representative thereof, for an associated financialinstrument, e.g. futures, options contracts, a single contract thereforeor a strategy/combination of contracts, such as a spread, wherein eachassociated financial instrument comprises at least one componentwherein, for example, for a futures or options contract, the componentis the contract itself and for a strategy/combination contract havingmore than one component wherein the components are the legorders/contracts/instruments thereof, as was described above. Each ofthe plurality of match engines 106 is operative to attempt to match anincoming, e.g. received from a market participant or other source, orderfor a transaction, which may specify the side/intent (buy/sell), desiredprice and desired quantity and/or other parameters/conditions, for theassociated financial instrument with at least one other previouslyreceived but unsatisfied, e.g. unmatched or only partially filled(resting), order for a transaction counter thereto for the associatedfinancial instrument, to at least partially satisfy, e.g. partiallyfill, one or both of the incoming order or the at least one otherpreviously received order, that is wherein each component, as governedby the transaction (distributively applied), is at least partiallysatisfied. In one embodiment, the systems 410 and 412 may be implementedas reconfigurable logic devices, e.g. FPGAs, and coupled with the matchengines.

Coupled with the set 406 of redundant match engines 408 via theinterconnecting infrastructure is the order processing 136 of theelectronic trading system. In one embodiment, the order processingfunction 136 is implemented on one or more FPGA devices, i.e. by one ormore logic components thereof, coupled with the network gateway device(not shown), such as via a backplane interconnect, through whichincoming transactions ingress the electronic trading system 100 andoutgoing messages egress the electronic trading system 100. The networkgate way device is further coupled with the interconnectinginfrastructure to which the set 406 of match engines 408 are alsocoupled. It will be appreciated that the set 406 of transactionprocessors may be coupled with the order processing function 136 viaother means such as a dedicated interconnection there between. Further,as was discussed above, the disclosed mechanisms may be implemented atany logical and/or physical point(s) through which the relevant messagetraffic, and responses thereto, flows or is otherwise accessible,including one or more gateway devices, modems, the computers orterminals of one or more traders, etc.

As was described above, the order processing function 136 receivesincoming transactions from the market participants 404 and ensuresdeterministic processing thereof, i.e. that the incoming transactionsare processed according to the defined business rules of the electronictrading system 100, e.g. in the order in which they are received by theorder processing function 136. Further, the order processing function136 receives the output of each of the redundant match engines 408 ofthe set 406 and evaluates those results to determine the correct result.The order processing function 136 may then further generate, or cause tobe generated, appropriate acknowledgements and/or market data basedthereon which are then communicated to the market participants 404.

In particular, FIG. 4 depicts a block diagram of a system 400, which mayalso be referred to as an architecture, for processing a plurality, e.g.a series or sequence, of financial transactions, such as orders to tradea financial product, received via a network, such as the network 126 ofFIG. 1 , from a plurality of market participants 404, the processing ofeach transaction operative to cause a change in a current state of anelectronic marketplace for one or more financial products. In oneembodiment, each transaction may comprise a request to transact, e.g. anorder to buy or sell, one or more financial products. A request totransact may further comprise a request to cancel a previoustransaction, a status inquiry or other transaction.

The system 400 includes a transaction receiver 410, e.g. an orderercomponent as described above, which may be implemented as one or morelogic components such as on an FPGA which may include a memory orreconfigurable component to store logic and processing component toexecute the stored logic, coupled with the network 126, such as via theinterconnection infrastructure 402, and operative to receive each of theplurality of financial transactions and, upon receipt, augment, orotherwise ascribe or associate with, the received financial transactionwith time signal data, which may be based on a system clock of system100, or a system clock associated with transaction receiver 410, or anytype of sequential counter.

The transaction receiver 410 may also be operative to augment, orotherwise ascribe or associate with, the received financial transactionwith sequence data, such as an ordering or sequence number, indicativeof a relationship, temporal or otherwise based on business rules/logic,e.g. a deterministic relationship, between the received financialtransaction, e.g. the time of receipt thereof, and any of the pluralityof financial transactions, e.g. the times of receipt thereof, previouslyand/or subsequently received by the transaction receiver 410. Theascribed ordering may then implicitly define the relationship with thosetransactions received thereafter. In one embodiment, the ordering may bea time stamp or, alternatively, an incremented sequence number.

It should be appreciated that if the transaction receiver 410 augmentsthe received financial transactions with time signal data and timestampdata, which may be the same data, the data may be used in differentways, as described herein. In particular, the time signal data may beused to achieve synchronization of scheduled events. For example, atimestamp may be used by the transaction receiver to determine an orderin which the financial transactions are processed by the match enginesdownstream.

The system 400 also includes a plurality 406 of transaction processors408, e.g. match engines, coupled with the transaction receiver 410, suchas via the communications infrastructure 402, each of the plurality 406of transaction processors 408 operative to compare the time signal datain each received augmented financial transaction with scheduledinstructions stored in a memory coupled with each transaction processor.

The transaction processors 408 may also be operative to, upondetermining that the time signal data in a received augmented financialtransaction corresponds to one or more of the scheduled instructions,execute the one or more of the scheduled instructions.

In one embodiment, the scheduled instructions received by the plurality406 of transaction processors 408 may be different. Alternatively, thescheduled instructions received by the plurality 406 of transactionprocessors 408 may be the same.

In one embodiment, the transaction receiver 410 may generate a timestampmessage if the transaction receiver 410 has not received a financialtransaction message in a predetermined amount of time, e.g., a marketfor a product is not very active. The timestamp message includes timesignal data, and the timestamp message may then be received by each ofthe transaction processors. The transaction receiver 410 may thus informeach of the transaction processors as to the current time if thetransaction receiver 410 has not received a financial transactionmessage in a predetermined amount of time. The transaction processorsthen can use the time signal data in the timestamp message to performscheduled tasks.

The transaction processors 408 may also be operative to receive each ofthe augmented financial transactions and process, e.g. apply thebusiness logic/matching algorithm to, the received augmented financialtransaction in accordance with the sequence data to determine the changein the current state of the electronic marketplace caused thereby. Aswas described above, the processing is irrespective of the sequence inwhich each of the augmented financial transactions are received from theorderer, which may be different from the relationship indicated by thesequence data and which may result in a different change in the state ofthe electronic marketplace.

In one embodiment of the system 400, the processing of receivedaugmented financial transactions implements a central limit order bookof a financial market for at least one financial instrument.

In one embodiment of the system 400, each of the plurality 406transaction processors 408 operates asynchronously with respect to theothers of the plurality 406 of transaction processors 408, but, ifoperating properly, process the augmented financial transactions the,same, i.e. according to the sequence data and the applicable businessrules. It will be appreciated that transaction processors 408 ofredundant set 406 may be added or removed at will.

In one embodiment of the system 400 the relationship indicated by thesequence data of a particular augmented financial transaction withrespect to others of the augmented financial transactions is differentfrom a relationship indicated by the order of receipt by one or more ofthe plurality of transaction processors of the particular augmentedfinancial transaction with respect to the others of the augmentedfinancial transactions, such as due to underlying processing priorities,transmission and/or routing anomalies, and would result in a differentstate change in the electronic marketplace.

In one embodiment of the system 400, each of the financial transactionscomprises a request to transact in one of the one or more financialproducts, the processing of each augmented financial transactionscomprising identifying whether a previously processed augmentedfinancial transaction remains incomplete and is counter thereto and, ifso, indicating that a transaction there between may be completed, and ifnot, indicating that data indicative of the availability of theaugmented financial transaction be stored in a database.

The system 400 further includes a result arbiter 412, e.g. a decidercomponent as described above, which may be implemented as one or morelogic components such as on the same or a different FPGA as the orderer410, coupled with each of the plurality 406 of transaction processors408, such as via the communications infrastructure 402, and operative toreceive therefrom at least one of the determined changes in the state ofthe electronic marketplace for each processed augmented financialtransaction and, based thereon, determine a selected change in thecurrent state of the electronic marketplace for the processed augmentedfinancial transaction and apply the selected change in the current stateof the electronic marketplace to update the state of the electronicmarketplace, the current state of the electronic marketplace nowreflective thereof.

In one embodiment of the system 400, the transaction receiver 410 andresult arbiter 412 are implemented in a network switch coupled with thedata link layer/network layer of the communications infrastructure.

In one embodiment of the system 400, the result arbiter 412 is operativeto compare the received determined changes in the state of theelectronic marketplace for each processed augmented financialtransaction, and determine the selected change in the current state ofthe electronic market place to be the received determined change in thestate of the electronic marketplace for each processed augmentedfinancial transaction provided by, for example, the majority or a quorumof the plurality of transaction processors.

In one embodiment, the system 400, the result arbiter 412 may furtherdetermine that a transaction processor 408 of the plurality 406 oftransaction processors 408 is faulty when the determined change in thestate of the electronic marketplace for a processed augmented financialtransaction received therefrom fails to agree with the determinedchanges in the state of the electronic marketplace for a processedaugmented financial transaction received from at least one other of theplurality 406 of transaction processors 408. The determination may besubject to a time delay threshold defining an amount of time which mustelapse without having received a result before a fault is declared. Aswill be described, this threshold may be defined so as to preventdetermination of a fault when a delayed result is expected, such as whena particular transaction processor 408 is known to be performingmaintenance operations or is otherwise busy, offline or deactivated.

For example, in one embodiment of the system 400, each of the plurality406 of transaction processors 408 is operative to periodically performone or more other functions, such as maintenance, e.g. garbagecollection, during which augmented financial transactions are notprocessed or processing is delayed. In this embodiment, each of theplurality 406 of transaction processor 408 may be further configured tonot perform the one or more other functions contemporaneously with theperformance of the one or more other functions by the remaining of theplurality 406 of transaction processors 408. Alternatively, more thanone transaction processor 408 may be allowed to perform other operationsassuming a sufficient number are remaining to meet a requisite level offault tolerance.

In one embodiment of the system 400, the plurality of financialtransactions may further include a plurality of administrativetransactions, each of which may or may not cause a change in the currentstate of the electronic marketplace. Such administrative transactionsmay include instructions to configure the transaction processors 408,such as to synchronize their operation or cause them to performmaintenance or other operations, such as garbage collection.

A component such as Administrative systems 416, which may be coupledwith any of the other components of the system 100, such as via thenetwork infrastructure, may generate instructions that each match engineshould execute. The instructions may be administrative in nature, suchthat the instructions may not cause a change in the current state of theelectronic marketplace. For example, the administrative instructions mayinclude instructions to configure the transaction processors 408, suchas to synchronize their operation or cause them to perform maintenanceor other operations. As used herein, synchronize may be a broad termthat may include, for example:

-   -   Components performing or executing tasks in the same order, even        if performed at different actual times (actual time meaning the        time as observed and as agreed upon by time setting and        measuring standards outside of the system in question, e.g.,        “wall clock time”, e.g., measured independently of any clock of        the system in question or under discussion, e.g., absolute        time), such that the end results or end state of all components        is identical;    -   Components performing tasks upon receiving a same message, e.g.,        components performing a scheduled task upon receiving a message        indicating that a time associated with the scheduled task has        occurred; or    -   Components performing all of the same tasks in the same order at        the same actual time, substantially the same actual time, or at        different actual times;    -   Components performing some of the same tasks in the same        relative order at the same actual time, substantially the same        actual time, or at different actual times.

In one embodiment, synchronized may mean according to any desired timingsequence, whether regular, irregular, and/or wholly or partiallysimultaneous.

It may be useful to synchronize the execution of processing in multiplenetworked computing resources such that the processing is in asubstantially concurrent manner.

For example, if component 2 performs tasks A, B, and C in the same orderas component 1 but 10 actual minutes after component 1 performs thesetasks, components 1 and 2 may be considered to be synchronized. In oneembodiment, synchronized may mean that the tasks are coordinated. In oneembodiment, the tasks may be coordinated around receipt of a timingmessage or other occurrence of an event.

It should also be appreciated that the multiple components and systemsdiscussed herein may be synchronized or coordinated to process all ofthe same transactions/instructions (e.g., be redundant). The systems andcomponents discussed herein may be configured to be immediatelyconsistent (e.g., process all of the same transactions/instructions atthe same or substantially same actual or real time) or to be eventuallyconsistent (e.g., process all of the same transactions/instructions atdifferent actual or real time).

In one embodiment, eventually consistent systems may be optimized sothat one component is optimized to perform one type of transaction andprioritizes performing that transaction type, another component isoptimized to perform another type of transaction and prioritizesperforming that transaction type, and the decider/arbiter describedherein selects, as described herein, the results of performing a giventransaction from the component optimized/prioritized to perform thattype of transaction. For example, the decider/arbiter may forward orsend the selected result to another component.

Moreover, the multiple components and systems discussed herein may besynchronized or coordinated to process some of the sametransactions/instructions in a coordinated manner (e.g., the commontransactions/instructions may all start or stop relative to a commonevent, e.g., the receipt of a timing message). The multiple componentsand systems discussed herein may be synchronized or coordinated toprocess the same or different transactions but against commonly shareddata.

Thus, the match engines may receive messages from multiple sources. Forexample, the match engines may receive financial transactions to performan action on a financial product that changes the state of an electronicmarketplace for that financial product, e.g., customer orders, from onesource, e.g., market participant computers. The match engines may alsoreceive instructions to perform administrative operations, e.g.,administrative instructions, from another source.

It may be desirable to control when match engines perform suchadministrative instructions, or in which sequence to perform themessages from the multiple sources. For example, it may be desirable tocause all of the match engines to perform an administrative instruction,such as closing the market, garbage collection, or software updates, insynchronization and/or coordination. Some instructions may be large(e.g., in terms of byte size, quantity of packets), such as messages toopen or close a market) and therefore may take a long time to transmitto, or be processed via, a single transaction receiver. In acomputerized financial exchange environment, passing large messagesthrough a single point of entry or determinism can lead to undesirablelatency, because all events would be limited to the throughput rate ofthe single point, e.g., the transaction receiver 410. Yet, as discussedherein, the transaction receiver 410, with its sequencing and orderingfunctionalities for messages/instructions/transactions received fromdifferent sources, may be necessary to ensure determinism.

The system 400 accordingly may be configured to generate operations orinstructions to be processed by the match engines as well as instructionidentifiers corresponding to each generated instruction. Instructionidentifiers may be identifiers that uniquely correspond to systeminstructions, or to administrative transactions. For example, theAdministrative systems component 416 may generate instructions thatshould be processed by one or more of the match engines as well asinstruction identifiers corresponding to each generated instruction.

The plurality 406 of transaction processors 408, e.g. match engines, maybe coupled with the Administrative systems component 416, such as viathe communications infrastructure 402, each of the plurality 406 oftransaction processors 408 operative to receive the instructions andinstruction identifiers from the Administrative systems component 416.Each transaction processor 408 may store, but not execute, the receivedinstruction in a cache or memory that is readily accessible. In otherwords, the match engines may receive the instructions but not processthem upon receipt. Instead, the match engines may store them such thatthey are instantly, or at least substantially, instantly accessible.Instead of accessing the instructions when they are to be executed, thematch engines receive and store them so that when the instructions areto be executed, there is substantially no latency or delay due toaccessing the instructions, e.g. no transmission delay as they arealready at the match engine.

Or, in one embodiment, the delay for accessing the instructions may beminimized by sending the instructions before they are to be executed.For example, sending instructions to a match engine 408 from theAdministrative systems component 416 may require a first amount of time,or a first delay, e.g. due to memory read latency, etc. The instructionsmay be stored by the match engine, as described above, before beingexecuted. When an instruction identifier is received identifying theinstruction to be executed, the match engine may retrieve the storedinstruction. Retrieving the instruction may require a second amount oftime, or a second delay, e.g. due to memory read latency, etc. Notably,the first time or delay may be much greater than the second time ordelay.

The transaction receiver 410 may also be operative to receiveinstruction identifiers from other components of the system 400, such asthe Administrative systems component 416. The transaction receiver 410may also be operative to augment, or otherwise ascribe or associatewith, received instruction identifiers with sequence data, such as anordering or sequence number, indicative of a relationship, temporal orotherwise based on business rules/logic, e.g. a deterministicrelationship, between the received instruction identifier, e.g. the timeof receipt thereof, and any of the plurality of instruction identifiers,e.g. the times of receipt thereof, previously and/or subsequentlyreceived by the transaction receiver 410. The ascribed ordering may thenimplicitly define the relationship with those instruction identifiersreceived thereafter. In one embodiment, the ordering may be a time stampor, alternatively, an incremented sequence number.

It should be appreciated that if the transaction receiver 410 augmentsthe received instruction identifiers with time signal data and timestampdata, which may be the same data, the data may be used in differentways, as described herein. In particular, the time signal data may beused to achieve synchronization of scheduled events. For example, atimestamp may be used by the transaction receiver to determine an orderin which the instruction identifiers are processed by the match enginesdownstream.

The plurality 406 of transaction processors 408, e.g. match engines, maybe coupled with the transaction receiver 410, such as via thecommunications infrastructure 402. For example, the transaction receiver410 may receive instruction identifiers from the Administrative systemscomponent 416 and augment them with sequence data as described herein.The transaction processors 408 may be operative to receive each of theaugmented instruction identifiers and retrieve, from the local orreadily accessible cache or memory, the instructions corresponding toeach received augmented instruction identifier in accordance with thesequence data to perform the proper administrative operation.

As discussed herein, because the instructions are readily accessible,e.g., stored in a memory local to each transaction processor, thetransaction processor can execute or process the correct instructionsubstantially immediately, e.g. without having to wait to receive theinstruction, upon looking up the instruction based on the receivedaugmented instruction identifier. For example, the system may implementa Content Addressable Memory (CAM).

As was described above, the processing performed by the transactionprocessors 408 is irrespective of the sequence in which each of theaugmented instruction identifiers are received from the orderer, whichmay be different from the relationship indicated by the sequence dataand which may result in a different change in the operation oftransaction processors.

In one embodiment of the system 400, the processing of receivedaugmented instruction identifiers controls or modifies the operation ofthe transaction processors but does not relate to or change the state ofthe electronic marketplace for a financial instrument.

In one embodiment of the system 400, each of the plurality 406transaction processors 408 operates asynchronously with respect to theothers of the plurality 406 of transaction processors 408, but, ifoperating properly, process the augmented instruction identifiers the,same, i.e. according to the sequence data and the applicable businessrules. It will be appreciated that transaction processors 408 ofredundant set 406 may be added or removed at will.

In one embodiment of the system 400 the relationship indicated by thesequence data of a particular augmented instruction identifier withrespect to others of the augmented instruction identifiers is differentfrom a relationship indicated by the order of receipt by one or more ofthe plurality of transaction processors of the particular augmentedinstruction identifier with respect to the others of the augmentedinstruction identifiers, such as due to underlying processingpriorities, transmission and/or routing anomalies, and would result in adifferent operation of a transaction processor.

The system 400 further includes a result arbiter 412, e.g. a decidercomponent as described above, which may be implemented as one or morelogic components such as on the same or a different FPGA as the orderer410, coupled with each of the plurality 406 of transaction processors408, such as via the communications infrastructure 402, and operative toreceive therefrom at least one of the determined changes in theoperation of the transaction processor for each processed augmentedinstruction identifier and, based thereon, determine a selected changein the current operation of the transaction processor for the processedaugmented instruction identifier and apply the selected change in thecurrent operation of the transaction processor.

In one embodiment of the system 400, the transaction receiver 410 andresult arbiter 412 are implemented in a network switch coupled with thedata link layer/network layer of the communications infrastructure.

In one embodiment of the system 400, the result arbiter 412 is operativeto compare the received determined changes in the operation of thetransaction processor for each processed augmented instructionidentifier, and determine the selected change in the current operationof the transaction processor to be the received determined change in theoperation of the transaction processor for each processed augmentedinstruction identifier provided by, for example, the majority or aquorum of the plurality of transaction processors.

In one embodiment, the system 400, the result arbiter 412 may furtherdetermine that a transaction processor 408 of the plurality 406 oftransaction processors 408 is faulty when the determined change in theoperation of the transaction processor for each processed augmentedinstruction identifier received therefrom fails to agree with thedetermined changes in the operation of the transaction processor foreach processed augmented instruction identifier received from at leastone other of the plurality 406 of transaction processors 408. Thedetermination may be subject to a time delay threshold defining anamount of time which must elapse without having received a result beforea fault is declared. As will be described, this threshold may be definedso as to prevent determination of a fault when a delayed result isexpected, such as when a particular transaction processor 408 is knownto be performing maintenance operations or is otherwise busy, offline ordeactivated.

For example, in one embodiment of the system 400, each of the plurality406 of transaction processors 408 is operative to periodically performone or more other functions, such as maintenance, e.g. garbagecollection, during which augmented instruction identifiers are notprocessed or processing is delayed. In this embodiment, each of theplurality 406 of transaction processor 408 may be further configured tonot perform the one or more other functions contemporaneously with theperformance of the one or more other functions by the remaining of theplurality 406 of transaction processors 408. Alternatively, more thanone transaction processor 408 may be allowed to perform other operationsassuming a sufficient number are remaining to meet a requisite level offault tolerance.

While the disclosed embodiments are described with respect to a singleorderer or transaction receiver, it should be appreciated that multipleorderers may be provided and configured to provide guaranteed orderingthat a single orderer provides. For example, the exchange computingsystem may include N orderers, and the delta/difference of cable lengthsbetween the orderers may be the same. Or, the exchange computing systemmay include N orderers, and the delta/difference of cable lengthsbetween the orderers and one or more client computers may be the same.For example, all of the different inputs, e.g., the different clientcomputers, may communicate with different orderers, but each clientcomputer has the same relative distance to its respective orderer. Inthese multiple orderer embodiments, the exchange computing system withmultiple orderers could be used to guarantee a same ordering that asingle orderer provides.

FIG. 5A illustrates an example system 500 including certain componentsof the systems of FIGS. 1 and/or 4 . System 500 may be the same as, oralternatives of, systems 100 and 400. As shown in FIG. 5A, thetransaction receiver 510 may receive messages from several sources. Thesources may include client computers 502 and 504, clock 506, andadministrative systems 507. Client computers 502 and 504 may sendfinancial transactions to transaction receiver 510. The financialtransactions may include instructions to buy and/or sell one or morefinancial products and may cause a change in the state of an electronicmarketplace associated with the financial products. The clock 506 may bea hardware unit, such as the Solarflare Precision Time Protocol (PTP)™hardware. Clock 506 provides a single source of time, which, asdescribed herein, may be used to augment messages with time signal data,e.g., to schedule instructions or to facilitate determinism.Administrative systems 507 may send physical and functionalconfiguration data to transaction receiver 510 that modifies a physicalconfiguration of a transaction processor (such as garbage collectiondetails, what ports should be utilized, how many CPUs should beutilized, or how much RAM should be utilized), or that modifies afunctional configuration of a transaction processor (such as indicatingwhy types of orders should be allowed, which types of orders should berejected, which market should be processed, which asset should beprocessed, whether pre-opening transactions should be processed, andvelocity logic configurations).

The data path for messages sent from client computer 502 to transactionreceiver 510 is path 520, and the data path for messages sent fromclient computer 504 to transaction receiver 510 is path 522. In FIG. 5A,client computer 504 is located physically and/or logically further awayfrom transaction receiver 510 compared to client computer 502. In otherwords, a message transmitted from client computer 502 to transactionreceiver 510 would take less time to arrive at transaction receiver 510compared to that same message (e.g., same contents, same size) iftransmitted from client computer 504 to transaction receiver 510, thedifference in transmission time being due solely to the respectivelocations of client computers 502 and 504, namely, that client computer504 is geographically (or logically) further away from transactionreceiver 510 than is client computer 502 from transaction receiver 510,assuming both client computers 502 and 504 have the same speed access,network connection, or bandwidth to transaction receiver 510. Saidanother way, data path 522 may be considered to be longer than data path520, and data path 530 may be considered to be longer than data path528. Thus, the length of a data path between two objects may define ageographical separation, a logical separation, or both, between the twoobjects.

Transaction receiver 510 receives and sequences, or orders, all of themessages it receives from the multiple sources, including clientcomputers 502 and 504. Transaction receiver 510 may also add time signaldata to each received message. The transaction receiver 510 then sendsthe ordered messages to the multiple transaction processors 508. Thedata path for sequenced messages sent from transaction receiver 510 tothe transaction processors 508 is path 524.

The transaction processors 510 process each received message, and mayprocess them differently depending upon the message type. For example,when a transaction processor 508 receives and processes financialtransactions, submitted by client computers 502 and 504, the state of anelectronic marketplace may be modified. When a transaction processor 508receives and processes an administrative instruction submitted byAdministrative systems 507, the operation of the transaction processor508 may be modified.

The transaction receiver 510 is, in one embodiment, a single point ofmessage receipt, so that all messages regardless of source pass throughor are processed by the transaction receiver 510. The messages from thedifferent sources may vary in size or complexity, so that some messagescan be time stamped and processed (e.g., ordered, sequenced, oraugmented) quicker than others. In particular, customer messages sent byclient computers to perform an action on a financial product and that,when processed by a transaction processor 508, cause a change in thestate of an electronic marketplace, e.g., order book, for the financialproduct, i.e., financial transactions, may be relatively simple or quickto process compared to administrative instructions that, when processedby a transaction processor 508, cause a change in the operation of thetransaction processor.

The transaction receiver 510 may receive streams of data from multiplesources, e.g., all the data message sources in exemplary FIG. 5A, namely502, 504, 506, and 507, so that the received messages are interweavedinto a combined stream of heterogeneous data, which is then transmittedover path 524 to the transaction processors 508. The transactionreceiver 510 may augment and process the combined stream of interweavedheterogeneous data in the order of receipt as described herein. Forexample, the transaction receiver 510 may process messages sequentially,or in a first in, first out (FIFO) manner.

In one embodiment, upon augmenting/processing the received messages, thetransaction receiver 510 may transmit the augmented messages to thetransaction processors 508. The data communication channel between thetransaction receiver 510 and transaction processors 508 may be minimallyprocess intensive, e.g., the transaction processors 508 receive messagesfrom the transaction receiver 510 substantially instantaneously.

For example, in one embodiment, the transaction processors 508 may sharea serial/bus connection with the orderer/transaction receiver 510. Amessage or transaction transmitted by the orderer to the transactionprocessors would not be able to overtake another message. In otherwords, a series of transactions transmitted by the transaction receiver510 in a given sequence would be received by each transaction processorin the same sequence. However, the series of transactions may bereceived by the transaction processors at different absolute times.

However, the transaction processors 508 may be configured differently(e.g., the physical and/or functional configuration discussed herein),so that they receive messages from the transaction receiver 510 atdifferent times. For example, in one embodiment, each transactionprocessor 508 may have a separate dedicated connection to thetransaction receiver 510. Thus, a series of transactions transmitted bythe transaction receiver 510 in a given sequence could be received byeach transaction processor in a different sequence. In one embodiment,even if the transaction processors 508 share a serial/bus connectionwith the orderer/transaction receiver 510, the transactions may be splitup into pieces and interleaved, which are then re-assembled bytransaction processors 508 in the appropriate format/message.

It should be appreciated that the combination of the transactionreceiver 510 and a bus architecture (where all the match engines pulldata from the orderer off a bus architecture) ensures that thetransaction processors 508 (e.g., match engines) receive messages (e.g.,financial transactions, instruction identifiers, etc.) in the sameorder. In particular, in one embodiment, the orderer may ensure that allmessages received from different sources will be sent to the bus in theorder in which they arrived to the orderer. The bus architectureguarantees delivery order to all consumers (e.g., transaction processors508) as long as there is only a single publisher to that bus. Thus, inone embodiment, the orderer/bus combination architecture guaranteesorder, so it is not possible for the match engines to receive anythingin a different order. A message might be processed by one match engineslightly ahead or slightly behind as compared to how that message isprocessed by another match engine, but in one embodiment, the system maybe configured so that all the match engines will have processed allmessages in the exact same order, thus resulting in the exact samestate.

In one embodiment, one of the transaction processors 508 may beconfigured to be optimized for one type of message (e.g., financialtransactions) while another of the transaction processors 508 may beconfigured to be optimized for another type of message (administrativesystems messages). In one embodiment, a transaction processor 508optimized for a message type prioritizes processing that message typeover any other message type.

The results from the transaction processors 508 are transmitted, overpath 526, to the result arbiter 512, which is the decider componentdescribed herein. The results arbiter 512, accordingly, collects theresults/match events from at least a subset of the set of transactionprocessors 508 and determines, of the received results, which is thecorrect result. The data path for messages sent from results arbiter 512to client computer 502 is path 528, and the data path for messages sentfrom results arbiter 512 to client computer 504 is path 530. Forexample, the results arbiter 512 may be configured to select aparticular result as the correct result if a majority of the transactionprocessors 508 independently arrive at that same result.

As described herein, a transaction processor processing one electronicdata transaction request message results in one or more, and possiblymany more, electronic data transaction result messages. In FIG. 5A,match results path 526 and output paths 528 and 530 are accordinglyillustrated as being thicker or bolder than input paths 520 and 522 andordered inputs path 524, to visually indicate that the amount of databeing generated and transmitted by the transaction processors is greaterthan the amount of data being received by the transaction processors.

Moreover, the transaction processors also generate data that is thenpublished to the client computers in the form of market data feeds. Whenthe transaction processors generate a large amount of data or outputmessages, e.g., due to a match event, the size of the market data feedspublished to the customers also becomes large. Thus, specificallylocating the transaction processors as disclosed herein reduces theamount of time needed to transmit market data, as well as the amount oftime needed to transmit individual output messages to client computers.

The generation of a large amount/volume of electronic data transactionresult messages may in turn cause a large amount of market data that istransmitted to all client computers interested in that market. Forexample, one client computer electronic data transaction requestmessage, e.g., a single price or value change, can result in manyelectronic data transaction result messages, which in turn can cause amassive amount of market data traffic that is published. For example,referring now to FIG. 5E, the results arbiter 512 may also transmit thelarge amount of selected results to a market data generator 511, whichin turn provides a market data feed 518 to market data subscribers 515.It should be appreciated that market data subscribers 515 may includeclient computers 502, 504, and any other client computers interested inreceiving market data 518 based on processing (e.g., matching) performedby the transaction processors 508.

Referring back to FIG. 5A, transaction receiver 510 and results arbiter512 may be in the same location, and they may be placed so close to eachother such that any distance, logical or physical, may be said to benegligible. In one embodiment, the transaction receiver 510 and theresults arbiter 512 may be the same device or component.

As with the transaction receiver 510, client computer 504 is locatedphysically and/or logically further away from results arbiter 512 thanis client computer 502. Because of the respective locations of clientcomputers 502 and 504, the same message transmitted from results arbiter512 to both client computers 502 and 504 would take longer to arrive atclient computer 504. The actual data path 530 is not the bottleneck.Data path 530 in one embodiment may be considered to be longer than datapath 528, or requires more time to traverse, solely because of therespective locations of client computers 502 and 504. As discussedherein, when comparing the transmission time or latencies experienced bymessages, it should be assumed that the time varies due tological/physical distance (e.g., client computer 502 versus 504 in FIG.5A), or due to message size (e.g., output messages are larger than inputmessages).

The exchange computing system accordingly receives all inputs attransaction receiver 510, which sequences/orders the incoming messagesas described herein to facilitate transactional determinism.

In FIG. 5A, the round trip path for input messages submitted by clientcomputer 502, and output messages responsive thereto, is path 520 topath 524 to path 526 to path 528. The round trip path for input messagessubmitted by client computer 504, and output messages responsivethereto, is path 522 to path 524 to path 526 to path 530.

Table 1 below lists example paths for messages traveling to and fromclient computer 502 as illustrated in FIG. 5A, and the travel timesassociated therewith.

TABLE 1 Client computer 502 Paths Latency (seconds) 520 10 524  6 526 12528 20 Total round trip 48

Regarding client computer 502, Table 1 illustrates that the travel timefor:

input messages over path 520 is 10 seconds;

sequenced messages over path 524 is 6 seconds;

match results over path 526 is 12 seconds (e.g., double the responsetime of sequenced messages over path 524 due to larger message size);and

output messages over path 528 is 20 seconds (e.g., double the responsetime of input messages over path 520 due to larger message size). Thetotal round trip time for input messages from client computer 502, andoutput messages responsive thereto to client computer 502, is 48seconds.

Table 2 below lists example paths for messages traveling to and fromclient computer 504 as illustrated in FIG. 5A, and the travel timesassociated therewith.

TABLE 2 Client computer 504 Paths Latency (seconds) 522  30 524  6 526 12 530  60 Total round trip 108

Regarding client computer 504, Table 2 illustrates that the travel timefor:

input messages over path 522 is 30 seconds;

sequenced messages over path 524 is 6 seconds;

match results over path 526 is 12 seconds (e.g., double the responsetime of sequenced messages over path 524 due to larger message size);and

output messages over path 530 is 60 seconds (e.g., double the responsetime of input messages over path 522 due to larger message size). Thetotal round trip time for input messages from client computer 504, andoutput messages responsive thereto to client computer 504, is 108seconds.

It should be assumed that the input and output messages associated withTables 1 and 2 are the same. Thus, the only reason for the difference inlatency between

paths 520 and 522; and

paths 528 and 530

is due solely to the respective locations of client computers 502 and504.

In the example of FIG. 5A and Tables 1 and 2, client computer 504experiences an extra delay of 60 seconds compared to client computer 502(namely, 108 seconds minus 48 seconds) due to client computer 504'sfurther (physically and/or logically) location from transaction receiver510 and results arbiter 512. The extra delay of 60 seconds may beconsidered to be due to data path 530 being longer than data path 528.

FIG. 5B illustrates example exchange computing system 532 includingtransaction receiver 510 that receives messages, e.g., electronic datatransaction request messages, from client computers 502 and 504, overinput paths 520 and 522, respectively. The transaction receiver 510sequences, e.g., augments with sequence data, the incoming messages, andtransmits the augmented messages to transaction processors 508 and 509via paths 524 and 542, respectively. Transaction processors 509 andtransaction processors 508 all receive the same sequenced data. All ofthe transaction processors in the system 532 receive the same incomingstream of sequenced/augmented messages. Transaction processors 508 and509 process the messages to generate electronic data transaction resultmessages. For example, transaction processors may be hardware matchingprocessors that match or attempt to match incoming messages withmessages counter thereto, as described above. Transaction processor 508transmits electronic data transaction result messages to client computer502 via output path 528. Transaction processor 509 transmits electronicdata transaction result messages to client computer 504 via output path546.

As described herein, a transaction processor 508, 509 processing oneelectronic data transaction request message results in one or more, andpossibly many more, electronic data transaction result messages. In FIG.5B, output paths 528 and 546 are accordingly illustrated as beingthicker or bolder than input paths 520 and 522 and ordered input paths524 and 542, to visually indicate that the amount of data beinggenerated and transmitted by the transaction processors is greater thanthe amount of data being received by the transaction processors.

Moreover, the transaction processors 508, 509 also generate data that isthen published to the client computers 502, 504 in the form of marketdata feeds. When the transaction processors 508, 509 generate a largeamount of data or output messages, e.g., due to a match event, the sizeof the market data feeds published to the customers also becomes large.Thus, specifically locating the transaction processors 508, 509 asdisclosed herein reduces the amount of time needed to transmit marketdata, as well as the amount of time needed to transmit individual outputmessages to client computers 502, 504.

Exchange computing system 532 accordingly includes a single component510 that sequences all incoming messages. The messages are thenprocessed by the transaction processors 508, 509. The transactionprocessors 508, 509 may be logically and/or physically isolated fromeach other. In one embodiment, the system 532 may be configured tooptimize data transmission efficiency by minimizing the logical/physicaldistance between transaction processors 508, 509 and the clientcomputers 502, 504 receiving data from the transaction processors 508,509.

For example, the time to transmit ordered input/sequenced electronicdata transaction request messages from transaction receiver 510 totransaction processor 508, generate electronic data transaction resultmessages by transaction processor 508, and transmit the electronic datatransaction result messages from transaction processor 508 to clientcomputer 504 may be much higher than the time to transmit orderedinput/sequenced electronic data transaction request messages fromtransaction receiver 510 to transaction processor 509, generateelectronic data transaction result messages by transaction processor509, and transmit the electronic data transaction result messages fromtransaction processor 509 to client computer 504.

In one embodiment, the time to transmit electronic data transactionresult messages from the transaction processor to the client computermay dominate the overall round trip time. The disclosed embodimentsminimize the distance that a transaction processor 508, 509 transmitselectronic data transaction result messages to a client computer 502,504.

FIG. 5C illustrates another example exchange computing system 540, whichincludes some of the components of exchange computing system 532. Insystem 540, the transaction receiver 510 and transaction processors 508may be located at a first location 550 that is closer (e.g., logicallyand/or physically) to client computer 502 than client computer 504.Thus, client computer 504 is remote to client computer 502 and location550. The exchange computing system 540 is configured to include a secondset of transaction processors 509 at a location 560 that is closer(e.g., logically and/or physically) to client computer 504 than clientcomputer 502. Thus, client computer 502 is remote to client computer 504and location 560.

As used herein, remote may mean geographically remote, or it may meanlogically remote. Components that are remote to each other may beconnected via one or more intermediate components, each of which mayimpart delay on communications, such as routers, gateways, cables, etc.,and/or which may be characterized by different transmission rates. Thelength of a cable, distance between transmitter and receiver, or thecommunication protocol for communicating there over may also dictatewhether components are considered remote to each other. As between anytwo network paths, the number of such intermediate components, as wellas the available bandwidth and transmission rate thereof, between asource and destination may vary, even where multiple destinations of thesame source are located geographically proximate to each other. That is,where two or more destinations may be geographically/physicallyequidistant from a given source, there still may be inequities in thelogical distance between the source and each destination due todifferences in the number/type of intermediate devices, communicationsprotocols, cable lengths, transmission distance, etc. in the networkpaths therebetween.

As in FIG. 5A, in FIG. 5C, the data path for messages sent from clientcomputer 502 to transaction receiver 510 is path 520, and the data pathfor messages sent from client computer 504 to transaction receiver 510is path 522.

The transaction receiver 510 augments/sequences incoming messages andtransmits them to both local transaction processors 508, as well asremote transaction processors 509. In particular, the data path forsequenced messages sent from transaction receiver 510 to the transactionprocessors 508 is path 524. The data path for sequenced messages sentfrom transaction receiver 510 to the transaction processors 509 is path542.

Thus, the transaction receiver 510 is still the single point of entry oringress for all incoming messages. The transaction processors 508 and509 process the incoming messages, which may be financial transactions.As described herein, the transaction processors 508 and 509 may beprogrammed to implement the same matching algorithms, so that they areall purposed to have the exact same output. Collectively, the set oftransaction processors 508 and 509 may be considered to be a set ofredundant matching processors. Or, they may be configured to handlecertain types of messages, so that processing is optimized.

Although all of the transaction processors 508 and 509 receive inputmessages from the same single component, i.e., the transaction receiver510, the transaction processors provide their responses to differentresult arbiters. In the exemplary embodiment illustrated in FIG. 5C,results from transaction processors 508 are transmitted to resultsarbiter 512, but results from transaction processors 509 are transmittedto results arbiter 513. In particular, the data path for resultstransmitted from transaction processors 508 to results arbiter 512 ispath 526. The data path for results transmitted from transactionprocessors 509 to results arbiter 513 is path 544. Results arbiter 512and results arbiter 513 are remote to each other.

Moreover, the different results arbiters transmit messages to differentclient computers. The data path for messages sent from results arbiter512 to client computer 502 is path 528, and the data path for messagessent from results arbiter 513 to client computer 504 is path 546. Thus,although all of the client computers' messages, e.g., financial messagesincluding requests to perform transactions, are received by the singleingress point (i.e., the transaction receiver 510), the client computerreceive responses to their financial transaction requests from differentresults arbiters.

Thus, exchange computing system 540 may be configured to provide outputmessages to different client computers from different results arbiters.For example, in example FIG. 5C, client computer 504 is remote fromclient computer 502. Moreover, client computer 502 is closer totransaction receiver 510. For example, a message may need more time tobe transmitted from client computer 504 to transaction receiver 510, ascompared to the time needed for the same message to be transmitted fromclient computer 502 to transaction receiver 510. Said another way,messages submitted by client computer 504 to transaction receiver 510experience a higher travel time latency than messages submitted byclient computer 502 to transaction receiver 510 due to the respectivedistances of client computers 502 and 504 from transaction receiver 510.

Like transaction receiver 510, results arbiter 512 is located closer toclient computer 502 than client computer 504. Results arbiter 512 canaccordingly communicate output messages (responsive to input messages)back to client computer 502 quicker than results arbiter 512 cancommunicate output messages (responsive to input messages) back toclient computer 504. System 540 attempts to minimize the latency due tothe distance from results arbiter 512 to client computer 504.

In particular, in a financial exchange that includes hardware matchingprocessors, e.g., transaction processors, each transaction processorprocesses inputs, where the result of processing inputs (i.e., outputs)are much larger than the inputs. At the very least, the processing ofeach input message causes the generation of at least one output message,namely, an acknowledgement that the message has been received by thematch engine. Depending on the state of the order book when a message isreceived, an input message may actually result in a match event, whichcan trigger the generation of hundreds if not thousands of outputmessages. For example, an incoming request that results in a match couldthen trigger other messages, because the order book may include restingconditional orders. In fact, a single input message, if it results inthe occurrence of a match event (e.g., the incoming request is a sellrequest that matches with a resting buy request) could result in thegenerations of thousands or millions of messages. Accordingly, thenature of the input-output data in a data transaction processing systemthat implements a hardware matching processor is that the input-outputratio is at least 1 to 1, but could be 1 to many. In other words, oneinput message can result in the generation of one or many outputmessages responsive to the input message. Moreover, the size of theoverall outputs can vary depending on whether there is a match. Forinstance, if the result of an input is just an acknowledgement wasreceived, the output data stream responsive to that input may beconsidered small. But if the result of an input is the occurrence of oneor more matches, then the output stream responsive to that input mayinclude acknowledgment messages as well as fill messages that are sentto each party involved in a match event reporting on the occurrence ofthe trade.

For additional details on operation of the transaction processorsgenerating output messages responsive to input messages, see U.S. patentapplication Ser. No. 15/339,160, filed on Oct. 31, 2016, entitled“Resource Allocation Based on Transaction Processor Classification”, theentire disclosure of which is incorporated by reference herein andrelied upon.

Accordingly, the amount of data, i.e., input data, transmitted fromclient computer 504 to transaction receiver 510 may be much smaller thanthe amount of data, i.e., output data, transmitted from transactionreceiver 510 to client computer 504, where the output data is responsiveto the input data. In other words, the output data is computed by thetransaction processors based on the input data. For example, thetransaction processors modify the state of an electronic order bookbased on the input messages (e.g., if a match event occurred, or if anincoming order rests on the book), and the exchange computing systemgenerates data representing the modification which is transmitted backto the customers. The response back to the customers, i.e., the outputdata, may be transmitted in the form of private messages, or may bepublished in the form of market data feeds to which customers may besubscribe.

As described herein, a transaction processor processing one electronicdata transaction request message results in one or more, and possiblymany more, electronic data transaction result messages. In FIG. 5C,match results paths 526 and 544 and output paths 528 and 546 areaccordingly illustrated as being thicker or bolder than input paths 520and 522 and ordered input paths 524 and 542, to visually indicate thatthe amount of data being generated and transmitted by the transactionprocessors is greater than the amount of data being received by thetransaction processors.

Moreover, the transaction processors also generate data that is thenpublished to the client computers in the form of market data feeds. Whenthe transaction processors generate a large amount of data or outputmessages, e.g., due to a match event, the size of the market data feedspublished to the customers also becomes large. Thus, specificallylocating the transaction processors as disclosed herein reduces theamount of time needed to transmit market data, as well as the amount oftime needed to transmit individual output messages to client computers.As shown in FIG. 5C, results arbiters 512 and 513 provide selectedresults to market data generators 511 and 517, respectively, which inturn provide results to market data subscribers 515 via market datafeeds 518 and 519, respectively.

The disclosed exchange computing system minimizes latency by optimizingthe transaction processors and results arbiters that are responsive tospecific client computer input requests or messages, as well as thetransaction processors and results arbiters that provide data to themarket data generators, which in turn is used to provide market datafeeds. In FIG. 5C, client computer 504 is located closer to resultsarbiter 513 than results arbiter 512. The exchange computing systemconfigures results arbiter 513 to send responses to client computer 504.Because configuring the exchange computing system so that transactionreceiver 510 receives all messages facilitates transactionaldeterminism, transaction receiver 510 continues to receive all incomingmessages, including financial messages submitted by client computer 504.

In FIG. 5C, the round trip path for input messages submitted by clientcomputer 502, and output messages responsive thereto, is the same as inFIG. 5A, namely, path 520 to path 524 to path 526 to path 528. UnlikeFIG. 5A, in FIG. 5C, the round trip path for input messages submitted byclient computer 504, and output messages responsive thereto, is path 522to path 542 to path 544 to path 546.

Table 3 below lists example paths for messages traveling to and fromclient computer 502 as illustrated in FIG. 5C, and the travel timesassociated therewith.

TABLE 3 Client computer 502 Paths Latency (seconds) 520 10 524  6 526 12528 20 Total round trip 48

Regarding client computer 502, Table 3 illustrates that the travel timefor:

input messages over path 520 is 10 seconds;

sequenced messages over path 524 is 6 seconds;

match results over path 526 is 12 seconds (e.g., double the responsetime of sequenced messages over path 524 due to larger message size);and

output messages over path 528 is 20 seconds (e.g., double the responsetime of input messages over path 520 due to larger message size). Thetotal round trip time for input messages from client computer 502, andoutput messages responsive thereto to client computer 502, is 48seconds.

Table 4 below lists example paths for messages traveling to and fromclient computer 504 as illustrated in FIG. 5C, and the travel timesassociated therewith.

TABLE 4 Client computer 504 Paths Latency (seconds) 522 30 542  9 544 12546 20 Total round trip 71

Regarding client computer 504, Table 4 illustrates that the travel timefor:

input messages over path 522 is 30 seconds;

sequenced messages over path 542 is 9 seconds;

match results over path 544 is 12 seconds; and

output messages over path 546 is 20 seconds. The total round trip timefor input messages from client computer 504, and output messagesresponsive thereto to client computer 504, is 71 seconds.

It should be assumed that the input and output messages associated withTables 3 and 4 are the same. Thus, the only reason for the difference inlatency between paths 520 and 522 is due solely to the respectivelocations of client computers 502 and 504.

In the example of FIG. 5C and Tables 3 and 4, client computer 504experiences an extra delay of 23 seconds compared to client computer 502(namely, 71 seconds minus 48 seconds) due to client computer 504'sphysically and/or logically further location from transaction receiver510. Thus, compared to FIG. 5A and Tables 1 and 2, client computer 504'sdelay is reduced by 37 seconds (60 seconds minus 23 seconds).

It should accordingly be appreciated that exchange computing system 540reduces the overall latency experienced by client computer 504 due to aspecific and particular configuration of the transaction receiver,transaction processors, results arbiters and data paths therebetween.Because the exchange computing system is bound by the requirement that asingle component sequences and orders every message that is received bythe exchange computing system, the transaction receiver receives allmessages, no matter where they are eventually processed (e.g., matchedor attempted to match by the hardware transaction processors). Moreover,the nature of the financial transactions performed by the exchangecomputing system results in output messages, computed by the transactionprocessors, which are at least the same in number as the input messages,e.g., a 1 input message to 1 output message ratio, but where the numberof output message may be much higher, e.g., a 1 input message to 500output message ratio. The disclosed system optimizes the latency causedby transmission of output messages over long/far (physically and/orlogically) distances by optimizing the distance that output messages aretransmitted. Exchange computing system 540 is configured to increase,wherever possible, the distance that sequenced messages transmitted bytransaction receiver 510 travel so that the distance that outputmessages travel can be reduced.

The disclosed embodiments minimize latency for client computer 504 bytrading off a longer route for ordered inputs path 542 for a shorteroutputs path 546. Ordered incoming messages travel on input path 542.Match results travel on output path 546. Because match results may bemuch larger than input messages, shortening the path that match resultstravel has a large impact on reducing the overall latency experienced byclient computer 504.

U.S. Pat. No. 7,788,163, filed on Jul. 18, 2005, entitled “System andMethod of Utilizing a Distributed Order Book in an Electronic TradeMatch Engine”, the entire disclosure of which is incorporated byreference herein and relied upon, describes matching orders at a localmatch engine, but does not teach ordering orders via a single componentor otherwise facilitating transaction determinism.

In one embodiment, the disclosed embodiments include automaticallydetecting which transaction processors and corresponding results arbiterare closest to a client computer, and transmitting sequenced messages(to facilitate transactional determinism) to those transactionprocessors and corresponding results arbiter so that the resulting matchresults (generated by the transaction processors) are as close to theclient computer as possible.

The exchange computing system knows the locations of the resultsarbiters and transaction processors because the results arbiters andtransaction processors are controlled by the exchange computing system.The exchange computing system may detect the location of a clientcomputer in a variety of ways. For example, the client computer mayreport its own location as part of the input message or order. A Tagfield in the order may identify the entity (e.g., trading firm)submitting a message, and each entity may be associated with an address,e.g., upon registering as a trader or customer. Or, the exchangecomputing system may use the Internet Protocol (“IP”) of a submittedmessage to determine the location of the message sending clientcomputer.

If a client or trading entity has registered its various clientcomputers and notified the exchange computing system of their locations,then identifying the source of a message can allow the exchangecomputing system to identify the location of the message sending clientcomputer. Examples and details of how a system may determine the sourceor entity of a message are described in U.S. Patent Publication No.2007/0118460 entitled “Detection of intra-firm matching and responsethereto” and filed on Nov. 17, 2006, and U.S. Patent Publication No.2015/0026033 entitled “Efficient Self-Match Prevention in an ElectronicMatch Engine” and filed Oct. 3, 2014, both of which are incorporated byreference herein in their entireties and relied upon.

The system may use information from within incoming messages, such as aTag 50 identifier within the CME Group exchange computing system, whichmay be a unique identifier associated with an individual submitting themessage. Or, the system may use any combination of the account, firm orunique user identifier to determine the location of a client computer.

In one embodiment, each client computer may select the location of theresults arbiter that provides match results to that client computer.

Exchange computing system 540 offers a high level of fault tolerancebecause transaction processors 509 may be redundant to transactionprocessors 508. If all of the transaction processors 508 at location 550stop working, e.g., due to a power failure, or a wire/bus failureconnecting transaction processors 508 to the rest of the system, resultsarbiter 513 may begin transmitting output messages to client computer502, e.g., over a new path (not shown).

FIG. 5D illustrates an alternative example exchange computing system570, which may be implemented to improve the overall reliability andfault tolerance of the exchange computing system. Exchange computingsystem 570 is similar to exchange computing system 540, except thatlocation 560 includes an additional backup or standby transactionreceiver 572. If all the components at location 550 stop working, e.g.,the components at location 550 are in the same building and the entirebuilding loses power, or upon a failure of the primary transactionreceiver or disconnection of the primary transaction receiver from theother components, the standby transaction receiver 572 becomes theprimary transaction receiver. All messages to the exchange computingsystem are sent to the standby transaction receiver 572. It should beappreciated that to preserve transactional determinism, only onetransaction receiver can be active at any one time.

The disclosed system could also advantageously reduce the need forcustomers to independently transmit match engine results betweenmultiple locations. For example, referring to FIG. 5A, some high speedcustomers prefer to handle all long distance data transfer. For example,the exchange computing system with transaction receiver 510 may belocated in Chicago. A New York based customer would prefer to receiveresults in Chicago, e.g., act as client computer 502, and transmit thoseresults to Chicago over a private high speed network, instead ofreceiving results from transaction receiver 510 in New York, e.g., actas client computer 504. These customers may install high speed, hightechnology private data paths between Chicago and New York that arefaster (e.g., higher bandwidth) than the speed of output path 530. Forexample, the customers may receive the results in Chicago and thentransmit them to New York over microwave links to create arbitrageopportunities for certain lookalike/highly correlated products. Thedisclosed embodiments eliminate this burden on customers by rapidlymaking match results available in both Chicago and New York. As long asthe overall latency for client computer 504 in exchange computing system540 is less than the latency of receiving outputs in Chicago and sendingover a high speed private network to client computer 504, exchangecomputing system 570 eliminates the incentive for customers to invest inprivate high speed lines beginning at the transaction receiver 510.

In one embodiment, the exchange computing system may be distributedacross multiple geographically/logically distributed locations. Forexample, as shown in FIG. 6 , exchange computing system 600 isdistributed across three locations 650, 660, and 670. Each locationincludes a transaction receiver, a results arbiter, and one or moretransaction processors. Although three locations are shown in FIG. 6 ,the exchange computing system may be distributed globally, with at leastone location in each country worldwide. In FIG. 6 , location 650includes transaction receiver 610, results arbiter 612 and transactionprocessors 608. Location 660 includes transaction receiver 616, resultsarbiter 618 and transaction processors 614. Location 670 includestransaction receiver 622, results arbiter 624 and transaction processors620. As illustrated by the double-headed arrows, the client computers602 and 604 may send data to and receive data from the exchangecomputing system 600. Each location, and components therein, may beconfigured to send data to and receive data from any one or more of theother locations, and components therein.

Client computers 602 and 604 may submit financial transactions to theexchange computing system 600. Only one of the transaction receivers maybe active at any one time. Thus, the incoming messages are routed to oneof the transaction receivers. The active transaction receiversequences/augments all incoming messages e.g., to facilitate determinismas described herein. The sequenced messages are then transmitted to oneor more of the transaction processors. For example, transaction receiver610 may initially be the active transaction receiver. Messages sequencedby the transaction receiver 610 may be transmitted to transactionprocessors 608, transaction processors 614, and transaction processors620. The transaction processors process the messages in the same order,although they may process the messages at different actual times.

In one embodiment, each transaction processor reports hardware matchingresults to the closet results arbiter. Thus, transaction processors 608process the messages and report results to results arbiter 612;transaction processors 614 process the messages and report results toresults arbiter 618, and transaction processors 620 process the messagesand report results to results arbiter 624. Each results arbiter 612,618, 624 then decides the correct answer, e.g., based on a quorum, andprovides the output to one or more client computer.

However, to increase overall fault tolerance, transaction processors mayreport results to other, or multiple, results arbiters 612, 618, 624.For example, transaction processors 608 may report results to resultsarbiter 618. Or, transaction processors 608 may report results toresults arbiter 612 and results arbiter 618. Each results arbiter 612,618, 624 accordingly may receive results from local and remotetransaction processors 608, 614, 620.

The exchange computing system 60 is configured so that only one of theresults arbiters 612, 618, 624 provides the output to a client computer602, 604. However, different results arbiters 612, 618, 624 may provideresults to different client computers 602, 604. Thus, results arbiter624 may provide output messages to client computer 604, and resultsarbiter 618 may provide output messages to client computer 602. In oneembodiment, results arbiter 612 may provide results to both clientcomputers 602 and 604.

In one embodiment, the exchange computing system 600 may be configuredto allow each client computer 602, 604 to select which results arbiter612, 618, 624 provides results to that client computer 602, 604. Aclient computer 602, 604 may accordingly choose to receive results fromthe nearest (geographically and/or logically) results arbiter 612, 618,624. Even though all input messages into the exchange computing system600 are initially received/sequenced by the same single transactionreceiver 610, 616, 622, different distributed results arbiters 612, 618,624 may vote on or select the correct output (e.g., from varioustransaction processors 608, 614, 620) and provide the results to aclient computer 602, 604.

In one embodiment, the exchange computing system 600 may be configuredto sequentially activate different transaction receivers 610, 616, 622at different times. Financial instrument market activity and liquidityassociated with an exchange computing system 600 physically shiftsacross the globe as the day progresses. Thus, it is assumed that themost active client computers 602, 604 are those where it is daytime.

For example, location 650 may be in Chicago, location 660 may be inLondon, and location 670 may be in Hong Kong. During U.S. business hours(e.g., 8 am to 5 pm in Chicago), all traffic from all client computers602, 604 is transmitted to transaction receiver 610. During Hong Kongbusiness hours, all traffic from all client computers 602, 604 istransmitted to transaction receiver 610. During London business hours,all traffic from all client computers 602, 604 is transmitted totransaction receiver 610. It should be appreciated that, in thisparticular embodiment, only one of the transaction receivers 610, 616,622 is active, or receives incoming traffic, at any one time. The timeof transition may be set by an operator of the exchange computing system600. The exchange computing system can accordingly activate thetransaction receiver 610, 616, 622 that is closest to the majority ofincoming traffic (e.g., client computers 602, 604 currently experiencingdaytime).

In one embodiment, the exchange computing system 600 may be configuredto detect where most of the incoming traffic is originating, andactivate the transaction receiver that is closest to that location.Thus, even if it is daytime in Chicago, if the majority of incomingmessages are originating in London, the exchange computing system 600may be configured to activate the transaction receiver in, or closestto, London.

The system 600 can also be expanded to create a global network oftransaction receivers (where only one transaction receiver is active atany one time to facilitate transactional determinism), results arbitersand transaction processors which would allow the exchange computingsystem 600 to “follow the sun”. By using the transaction receiverclosest to the active market, the exchange computing system 600 candecrease overall response time for the majority of active marketparticipants. The system may include multiple transaction receivers, butselectively activate the transaction receiver that is closest to thecurrently active market or source of liquidity.

In one embodiment, the exchange computing system 600 may additionally oralternatively be configured to select different results arbiters 612,618, 624 for different client computers 602, 604 so that the clientcomputers 602, 604 receive output results at or near at the same time.For example, the exchange computing system 600 may be configured tocontrol how much time is required to communicate with the geographicallydisparate transaction processors 608, 614, 620 and results arbiters 612,618, 624. The exchange computing system 600 may change the relativetimings between client computers 602, 604 on a continuous basis. Forexample, client computers in New York, Los Angeles, and Chicago maysubmit orders to a transaction receiver located in New York. At thestart of the day, the travel time from the New York client computer tothe New York transaction receiver might be the smallest, and the traveltime from the Los Angeles client computer to the Los Angeles transactionreceiver might the longest, with the net effect being that the exchangecomputing system appears “closest” to the New York client computer.

As the day progresses, the exchange computing system 600 may lengthenthe travel time for the New York client computer (e.g., by selecting aresults arbiter that is further away from the New York client computerto provide results to the New York client computer) and shorten thetravel time for the Los Angeles client computer (e.g., by selecting aresults arbiter that is closer to the Los Angeles client computer toprovide results to the Los Angeles client computer). This timingtransition would, in effect, make it appears that the exchange computingsystem was moving closer to Los Angeles over the course of the day.

In one embodiment, the exchange computing system 600 may be configuredto use different components from different locations to equalize theresponse time to all client computers, no matter how widely distributed(geographically or logically).

It should be appreciated that with a global network of transactionreceivers, transaction processors and results arbiters, the exchangecomputing system can be configured to provide increased fault tolerance,provide results quickly at different client locations, control responsetimes to relatively shift the exchange computing system to variouslocations, and to control response times to equalize the latency betweena widely distributed client base.

In some of the disclosed embodiments, the architecture includes a singlesequenced stream of data that singularly determinesfunctionality/output. This architecture advantageously facilitatesefficient real time recovery and/or startup of a new transactionprocessor, e.g., a hardware matching processor.

In one embodiment, the overall system is reset once a week, e.g., at thestart of a trading week, e.g., Sunday night in Chicago. When a system isreset, all of the transaction processors are at the same initial state,and have not yet processed any transactions. After the trading weekopens, each transaction processor processes the incoming data in thesame sequence (although possibly at different times) so that their stateshould be the same upcoming processing the same number of incomingmessages.

If a new transaction processor is added to the exchange computing systemmid-week, e.g., Tuesday, the new transaction processor must “catch up”to all the events that have happened from the beginning of the tradingweek until that point, before the transaction processor can startprocessing new incoming transactions. In other words, the newly addedtransaction processor must catch up to the week's previous activity, soits state is the same as the other transaction processors up to areference point (e.g., the point when the new transaction processor wasadded) before the new transaction processor can process new incomingtransactions.

For example, the operator or administrator of the exchange computingsystem may desire to add a new transaction processor to replace a failedtransaction processor. The operator or administrator of the exchangecomputing system may add a new transaction processor to the overallsystem at time X by activating the new transaction processor andreplaying all of the week's activity up till time X. If time X is 2 daysinto the trading week, the new transaction processor must replay 2 daysof activity, to ensure the new transaction processor is at the samestate at time X as all the other transaction processors, before the newtransaction processor is allowed to process transactions.

In one embodiment, because all of the incoming data may include a timestamp, as described in the '208 application, the replay time may be lessthan 2 days. In other words, the exchange computing system replay systemmay be configured to process replay events faster than the amount oftime initially required to receive and process events.

Once the new transaction processor or node has caught up to the point ofprocessing all sequenced events that the other nodes have processed, thenew transaction processor can then function as yet another nodeconsidered by the results arbiter/voter. The results arbiter may beconfigured to ignore the outputs from the new transaction processorwhile the new transaction processor is catching up (and outputting staleresults). Or, the new transaction processor may not be connected to sendresults to any results arbiter until the new transaction processor hascaught up to all of the other transaction processors.

The ability to add a new transaction processor after all of the existingtransaction processors are in different states, and then catch up orsynchronize the new transaction processor to the other transactionprocessors, may be useful in a variety of applications for the exchangecomputing system.

For instance, an exchange computing system may implement, for everytransaction processor, a primary and a single backup. For someapplications, a machine can be running as primary for some processes andbackup as others. Mission critical applications, however, may only berun on a dedicated machine, e.g., a machine that only runs oneapplication. But, if a primary fails and a backup takes over, then thereis only a single machine (the backup now running as primary) for aprocess. The exchange computing system could buy three of every machineinstead of two (thus deploying two backups for each primary), with thedown side being that two out of three machines are rarely used, thusinefficiently using computing resources.

The exchange computing system may accordingly deploy or implement aplurality of backup machines that are not dedicated to any one processor primary machine. Thus, if a primary machine fails, and one of thebackup machines takes over, there would still be several other backupmachines available to use if even the backup machine that replaced theprimary machine also fails.

This architecture also facilitates the ability to upgrade software onone of the transaction processors during trading hours if needed. Forexample, for primary transaction processor A and one of its backuptransaction processors B, transaction processor B can bedeactivated/disconnected from its corresponding transaction receiver andresults arbiter, and the software on transaction processor B can beupgraded. Transaction processor B can then receive the incoming datastream/sequenced messages it missed, so that transaction processor B canbe synchronized with the other active transaction processors.Transaction processor B can then become the primary machine processingincoming data, and transaction processor A (initially the primary) canbe deactivated, its software upgraded, and put back online aftercatching up on the data transaction processor A missed. This ability isdesirable for and exchange computing system because it can allow forcontinuous 24×7 trading, with zero customer-experienced downtime,maintenance windows, etc.

FIG. 7 illustrates an illustrates an example process 700 indicating anexample method of implementing the disclosed exchange computing system,as may be implemented with computer devices and computer networks, suchas those described with respect to FIGS. 1 and 2 . Embodiments mayinvolve all, more or fewer actions indicated by the blocks of FIG. 7 .The actions may be performed in the order or sequence shown or in adifferent sequence.

Process 700 begins with receiving, by a transaction receiver, electronicdata transaction request messages from a first client computer over afirst data path and from a second client computer over a second datapath, as shown in block 702. For example, different clients may submitrequests to perform financial transactions, e.g., buy or sell afinancial instrument at a specified price. The process next includesaugmenting, by the transaction receiver, each received electronic datatransaction request message, as shown in block 704. The transactionreceiver may sequence each incoming message, so that all of the messagesare sequenced in the order they are received by the transactionreceiver. The messages from the different client computers may beinterleaved, depending on the order in which they were received by thetransaction receiver.

Although the data paths described herein are identified as differentpaths, the messages described as traveling over different paths mayactually travel over the same path. Thus, the first and second paths maybe the same path. In one embodiment, the described paths may overlap.For example, two client computers may be connected to a commonnetworking router over a local or wide area network. Any message sentfrom a first client computer to the exchange computing system maytraverse the same path traversed by a message sent from a second clientcomputer. Or, the paths may diverge initially, e.g., from the clientcomputer to the nearest router, after which the paths are the same. Thesame may be true of paths internal to the exchange computing system,e.g., paths from one internal component, e.g., a transaction receiver,to other internal components, e.g., transaction processors.

Process 700 next includes transmitting, by the transaction receiver, theaugmented electronic data transaction request messages to a firsttransaction processor over a third data path and to a second transactionprocessor over a fourth data path, as shown in block 706. Thetransaction processors may be geographically and/or logically separatefrom the transaction receiver.

Process 700 next includes processing, by the first and secondtransaction processors, the received augmented electronic datatransaction request messages, as shown in block 708. For instances, thetransaction processors may be hardware matching processors that attemptto match the requests with other requests counter thereto.

The process includes generating, by the first and second transactionprocessors, a plurality of electronic data transaction result messagesresponsive to the electronic data transaction request messages, as shownin block 710. The transaction processors may be redundant to each other,so that they both independently process each electronic data transactionrequest message. The transaction processors may be identicallyprogrammed/configured, so that the electronic data transaction resultmessages are the same. They may not be generated at the same time, butthey are generated in the same sequence and may be otherwise (other thanactual time of generation) identical.

Process 700 includes transmitting at least some of the electronic datatransaction result messages to the first client computer over a fifthdata path, as shown in block 712. Process 700 also includes transmittingat least some of the electronic data transaction result messages to thesecond client computer over a sixth data path, wherein the second datapath is longer than the sixth data path, as shown in block 714. Itshould be appreciated that each client computer only receives theelectronic data transaction result messages that are responsive to theelectronic data transaction request messages submitted by thatrespective client computer. The second path being longer than the sixthpath may be based on the geographical locations of second clientcomputer, the transaction receiver, and the second transactionprocessor. For instance, the second client computer may be physicallycloser to the second transaction processor than the second clientcomputer is to the transaction receiver.

Or, the second client computer, the transaction receiver, and the secondtransaction processor may be geographically close, e.g., in the samedata center, but the wiring or the intermediate components may cause thesecond client computer to be logically closer to the second transactionprocessor than the second client computer is to the transactionreceiver. The geographical and/or logical locations/configurations mayresult in a message, if the same message were sent from the secondclient computer to the transaction receiver and from the secondtransaction processor to the second client computer, to travel from thesecond transaction processor to the second client computer faster thanthe same message travels from the second client computer to thetransaction receiver.

Because of the type of processing performed by the transactionprocessors, e.g., matching, the number of the electronic datatransaction result messages generated by any one of the transactionprocessors may be greater than the number of the electronic datatransaction request messages received by the transaction receiver. Inaddition, the combined size (e.g., megabytes) of all of the electronicdata transaction result messages may be larger than the combined size ofall of the electronic data transaction request messages received by thetransaction receiver.

The fourth data path may be longer than the third data path. In otherwords, the first transaction processor may be closer to the transactionreceiver than the second transaction processor is to the transactionreceiver.

In one embodiment, each client computer only receives electronic datatransaction result messages that are responsive to electronic datatransaction request messages submitted by that client computer.

In one embodiment, the transaction processor closest (geographically orlogically) to a client computer may transmit results to that clientcomputer. Alternatively, e.g., for redundancy, other transactionprocessors (e.g., not the closest) may transmit results to a givenclient computer.

In one embodiment, (i) the time required to transmit the augmentedelectronic data transaction request messages from the transactionreceiver to the first transaction processor is less than (ii) the timerequired to transmit the augmented electronic data transaction requestmessages from the transaction receiver to the second transactionprocessor, and (iii) the sum of the times required to transmit theaugmented electronic data transaction request messages from thetransaction receiver to the first transaction processor and to transmitthe electronic data transaction result messages from the firsttransaction processor to the second client computer is greater than (iv)the sum of the times required to transmit the augmented electronic datatransaction request messages from the transaction receiver to the secondtransaction processor and to transmit the electronic data transactionresult messages from the second transaction processor to the secondclient computer.

Thus, the exchange computing system may optimize the amount of timeneeded to respond to the second client computer by performing theprocessing at a second transaction processor closer to the second clientcomputer, even if that second transaction processor is further away fromthe transaction receiver than some other transaction processor, e.g., afirst transaction processor.

As described in detail above, the augmenting/sequencing by thetransaction receiver may dictate the order in which messages areprocessed by the transaction processors.

Referring back to FIG. 1 , the trading network environment shown in FIG.1 includes exemplary computer devices 114, 116, 118, 120 and 122 whichdepict different exemplary methods or media by which a computer devicemay be coupled with the exchange computer system 100 or by which a usermay communicate, e.g., send and receive, trade or other informationtherewith. It should be appreciated that the types of computer devicesdeployed by traders and the methods and media by which they communicatewith the exchange computer system 100 is implementation dependent andmay vary and that not all of the depicted computer devices and/ormeans/media of communication may be used and that other computer devicesand/or means/media of communications, now available or later developedmay be used. Each computer device, which may comprise a computer 200described in more detail with respect to FIG. 2 , may include a centralprocessor, specifically configured or otherwise, that controls theoverall operation of the computer and a system bus that connects thecentral processor to one or more conventional components, such as anetwork card or modem. Each computer device may also include a varietyof interface units and drives for reading and writing data or files andcommunicating with other computer devices and with the exchange computersystem 100. Depending on the type of computer device, a user caninteract with the computer with a keyboard, pointing device, microphone,pen device or other input device now available or later developed.

An exemplary computer device 114 is shown directly connected to exchangecomputer system 100, such as via a T1 line, a common local area network(LAN) or other wired and/or wireless medium for connecting computerdevices, such as the network 220 shown in FIG. 2 and described withrespect thereto. The exemplary computer device 114 is further shownconnected to a radio 132. The user of radio 132, which may include acellular telephone, smart phone, or other wireless proprietary and/ornon-proprietary device, may be a trader or exchange employee. The radiouser may transmit orders or other information to the exemplary computerdevice 114 or a user thereof. The user of the exemplary computer device114, or the exemplary computer device 114 alone and/or autonomously, maythen transmit the trade or other information to the exchange computersystem 100.

Exemplary computer devices 116 and 118 are coupled with a local areanetwork (“LAN”) 124 which may be configured in one or more of thewell-known LAN topologies, e.g., star, daisy chain, etc., and may use avariety of different protocols, such as Ethernet, TCP/IP, etc. Theexemplary computer devices 116 and 118 may communicate with each otherand with other computer and other devices which are coupled with the LAN124. Computer and other devices may be coupled with the LAN 124 viatwisted pair wires, coaxial cable, fiber optics or other wired orwireless media. As shown in FIG. 1 , an exemplary wireless personaldigital assistant device (“PDA”) 122, such as a mobile telephone, tabletbased compute device, or other wireless device, may communicate with theLAN 124 and/or the Internet 126 via radio waves, such as via WiFi,Bluetooth and/or a cellular telephone based data communicationsprotocol. PDA 122 may also communicate with exchange computer system 100via a conventional wireless hub 128.

FIG. 1 also shows the LAN 124 coupled with a wide area network (“WAN”)126 which may be comprised of one or more public or private wired orwireless networks. In one embodiment, the WAN 126 includes the Internet126. The LAN 124 may include a router to connect LAN 124 to the Internet126. Exemplary computer device 120 is shown coupled directly to theInternet 126, such as via a modem, DSL line, satellite dish or any otherdevice for connecting a computer device to the Internet 126 via aservice provider therefore as is known. LAN 124 and/or WAN 126 may bethe same as the network 220 shown in FIG. 2 and described with respectthereto.

Users of the exchange computer system 100 may include one or more marketmakers 130 which may maintain a market by providing constant bid andoffer prices for a derivative or security to the exchange computersystem 100, such as via one of the exemplary computer devices depicted.The exchange computer system 100 may also exchange information withother match or trade engines, such as trade engine 138. One skilled inthe art will appreciate that numerous additional computers and systemsmay be coupled to exchange computer system 100. Such computers andsystems may include clearing, regulatory and fee systems.

The operations of computer devices and systems shown in FIG. 1 may becontrolled by computer-executable instructions stored on anon-transitory computer-readable medium. For example, the exemplarycomputer device 116 may store computer-executable instructions forreceiving order information from a user, transmitting that orderinformation to exchange computer system 100 in electronic messages,extracting the order information from the electronic messages, executingactions relating to the messages, and/or calculating values fromcharacteristics of the extracted order to facilitate matching orders andexecuting trades. In another example, the exemplary computer device 118may include computer-executable instructions for receiving market datafrom exchange computer system 100 and displaying that information to auser.

Numerous additional servers, computers, handheld devices, personaldigital assistants, telephones and other devices may also be connectedto exchange computer system 100. Moreover, one skilled in the art willappreciate that the topology shown in FIG. 1 is merely an example andthat the components shown in FIG. 1 may include other components notshown and be connected by numerous alternative topologies.

Referring back to FIG. 2 , an illustrative embodiment of a generalcomputer system 200 is shown. The computer system 200 can include a setof instructions that can be executed to cause the computer system 200 toperform any one or more of the methods or computer based functionsdisclosed herein. The computer system 200 may operate as a standalonedevice or may be connected, e.g., using a network, to other computersystems or peripheral devices. Any of the components discussed above,such as the processor 202, may be a computer system 200 or a componentin the computer system 200. The computer system 200 may be specificallyconfigured to implement a match engine, margin processing, payment orclearing function on behalf of an exchange, such as the ChicagoMercantile Exchange, of which the disclosed embodiments are a componentthereof.

In a networked deployment, the computer system 200 may operate in thecapacity of a server or as a client user computer in a client-serveruser network environment, or as a peer computer system in a peer-to-peer(or distributed) network environment. The computer system 200 can alsobe implemented as or incorporated into various devices, such as apersonal computer (PC), a tablet PC, a set-top box (STB), a personaldigital assistant (PDA), a mobile device, a palmtop computer, a laptopcomputer, a desktop computer, a communications device, a wirelesstelephone, a land-line telephone, a control system, a camera, a scanner,a facsimile machine, a printer, a pager, a personal trusted device, aweb appliance, a network router, switch or bridge, or any other machinecapable of executing a set of instructions (sequential or otherwise)that specify actions to be taken by that machine. In a particularembodiment, the computer system 200 can be implemented using electronicdevices that provide voice, video or data communication. Further, whilea single computer system 200 is illustrated, the term “system” shallalso be taken to include any collection of systems or sub-systems thatindividually or jointly execute a set, or multiple sets, of instructionsto perform one or more computer functions.

As illustrated in FIG. 2 , the computer system 200 may include aprocessor 202, e.g., a central processing unit (CPU), a graphicsprocessing unit (GPU), or both. The processor 202 may be a component ina variety of systems. For example, the processor 202 may be part of astandard personal computer or a workstation. The processor 202 may beone or more general processors, digital signal processors, specificallyconfigured processors, application specific integrated circuits, fieldprogrammable gate arrays, servers, networks, digital circuits, analogcircuits, combinations thereof, or other now known or later developeddevices for analyzing and processing data. The processor 202 mayimplement a software program, such as code generated manually (i.e.,programmed).

The computer system 200 may include a memory 204 that can communicatevia a bus 208. The memory 204 may be a main memory, a static memory, ora dynamic memory. The memory 204 may include, but is not limited to,computer readable storage media such as various types of volatile andnon-volatile storage media, including but not limited to random accessmemory, read-only memory, programmable read-only memory, electricallyprogrammable read-only memory, electrically erasable read-only memory,flash memory, magnetic tape or disk, optical media and the like. In oneembodiment, the memory 204 includes a cache or random access memory forthe processor 202. In alternative embodiments, the memory 204 isseparate from the processor 202, such as a cache memory of a processor,the system memory, or other memory. The memory 204 may be an externalstorage device or database for storing data. Examples include a harddrive, compact disc (“CD”), digital video disc (“DVD”), memory card,memory stick, floppy disc, universal serial bus (“USB”) memory device,or any other device operative to store data. The memory 204 is operableto store instructions executable by the processor 202. The functions,acts or tasks illustrated in the figures or described herein may beperformed by the programmed processor 202 executing the instructions 212stored in the memory 204. The functions, acts or tasks are independentof the particular type of instructions set, storage media, processor orprocessing strategy and may be performed by software, hardware,integrated circuits, firm-ware, micro-code and the like, operating aloneor in combination. Likewise, processing strategies may includemultiprocessing, multitasking, parallel processing and the like.

As shown, the computer system 200 may further include a display unit214, such as a liquid crystal display (LCD), an organic light emittingdiode (OLED), a flat panel display, a solid state display, a cathode raytube (CRT), a projector, a printer or other now known or later developeddisplay device for outputting determined information. The display 214may act as an interface for the user to see the functioning of theprocessor 202, or specifically as an interface with the software storedin the memory 204 or in the drive unit 206.

Additionally, the computer system 200 may include an input device 216configured to allow a user to interact with any of the components ofsystem 200. The input device 216 may be a number pad, a keyboard, or acursor control device, such as a mouse, or a joystick, touch screendisplay, remote control or any other device operative to interact withthe system 200.

In a particular embodiment, as depicted in FIG. 2 , the computer system200 may also include a disk or optical drive unit 206. The disk driveunit 206 may include a computer-readable medium 210 in which one or moresets of instructions 212, e.g., software, can be embedded. Further, theinstructions 212 may embody one or more of the methods or logic asdescribed herein. In a particular embodiment, the instructions 212 mayreside completely, or at least partially, within the memory 204 and/orwithin the processor 202 during execution by the computer system 200.The memory 204 and the processor 202 also may include computer-readablemedia as discussed above.

The present disclosure contemplates a computer-readable medium thatincludes instructions 212 or receives and executes instructions 212responsive to a propagated signal, so that a device connected to anetwork 220 can communicate voice, video, audio, images or any otherdata over the network 220. Further, the instructions 212 may betransmitted or received over the network 220 via a communicationinterface 218. The communication interface 218 may be a part of theprocessor 202 or may be a separate component. The communicationinterface 218 may be created in software or may be a physical connectionin hardware. The communication interface 218 is configured to connectwith a network 220, external media, the display 214, or any othercomponents in system 200, or combinations thereof. The connection withthe network 220 may be a physical connection, such as a wired Ethernetconnection or may be established wirelessly. Likewise, the additionalconnections with other components of the system 200 may be physicalconnections or may be established wirelessly.

The network 220 may include wired networks, wireless networks, orcombinations thereof. The wireless network may be a cellular telephonenetwork, an 802.11, 802.16, 802.20, or WiMax network. Further, thenetwork 220 may be a public network, such as the Internet, a privatenetwork, such as an intranet, or combinations thereof, and may utilize avariety of networking protocols now available or later developedincluding, but not limited to, TCP/IP based networking protocols.

Embodiments of the subject matter and the functional operationsdescribed in this specification can be implemented in digital electroniccircuitry, or in computer software, firmware, or hardware, including thestructures disclosed in this specification and their structuralequivalents, or in combinations of one or more of them. Embodiments ofthe subject matter described in this specification can be implemented asone or more computer program products, i.e., one or more modules ofcomputer program instructions encoded on a computer readable medium forexecution by, or to control the operation of, data processing apparatus.While the computer-readable medium is shown to be a single medium, theterm “computer-readable medium” includes a single medium or multiplemedia, such as a centralized or distributed database, and/or associatedcaches and servers that store one or more sets of instructions. The term“computer-readable medium” shall also include any medium that is capableof storing, encoding or carrying a set of instructions for execution bya processor or that cause a computer system to perform any one or moreof the methods or operations disclosed herein. The computer readablemedium can be a machine-readable storage device, a machine-readablestorage substrate, a memory device, or a combination of one or more ofthem. The term “data processing apparatus” encompasses all apparatus,devices, and machines for processing data, including by way of example aprogrammable processor, a computer, or multiple processors or computers.The apparatus can include, in addition to hardware, code that creates anexecution environment for the computer program in question, e.g., codethat constitutes processor firmware, a protocol stack, a databasemanagement system, an operating system, or a combination of one or moreof them.

In a particular non-limiting, exemplary embodiment, thecomputer-readable medium can include a solid-state memory such as amemory card or other package that houses one or more non-volatileread-only memories. Further, the computer-readable medium can be arandom access memory or other volatile re-writable memory. Additionally,the computer-readable medium can include a magneto-optical or opticalmedium, such as a disk or tapes or other storage device to capturecarrier wave signals such as a signal communicated over a transmissionmedium. A digital file attachment to an e-mail or other self-containedinformation archive or set of archives may be considered a distributionmedium that is a tangible storage medium. Accordingly, the disclosure isconsidered to include any one or more of a computer-readable medium or adistribution medium and other equivalents and successor media, in whichdata or instructions may be stored.

In an alternative embodiment, dedicated or otherwise specificallyconfigured hardware implementations, such as application specificintegrated circuits, programmable logic arrays and other hardwaredevices, can be constructed to implement one or more of the methodsdescribed herein. Applications that may include the apparatus andsystems of various embodiments can broadly include a variety ofelectronic and computer systems. One or more embodiments describedherein may implement functions using two or more specific interconnectedhardware modules or devices with related control and data signals thatcan be communicated between and through the modules, or as portions ofan application-specific integrated circuit. Accordingly, the presentsystem encompasses software, firmware, and hardware implementations.

In accordance with various embodiments of the present disclosure, themethods described herein may be implemented by software programsexecutable by a computer system. Further, in an exemplary, non-limitedembodiment, implementations can include distributed processing,component/object distributed processing, and parallel processing.Alternatively, virtual computer system processing can be constructed toimplement one or more of the methods or functionality as describedherein.

Although the present specification describes components and functionsthat may be implemented in particular embodiments with reference toparticular standards and protocols, the invention is not limited to suchstandards and protocols. For example, standards for Internet and otherpacket switched network transmission (e.g., TCP/IP, UDP/IP, HTML, HTTP,HTTPS) represent examples of the state of the art. Such standards areperiodically superseded by faster or more efficient equivalents havingessentially the same functions. Accordingly, replacement standards andprotocols having the same or similar functions as those disclosed hereinare considered equivalents thereof.

A computer program (also known as a program, software, softwareapplication, script, or code) can be written in any form of programminglanguage, including compiled or interpreted languages, and it can bedeployed in any form, including as a standalone program or as a module,component, subroutine, or other unit suitable for use in a computingenvironment. A computer program does not necessarily correspond to afile in a file system. A program can be stored in a portion of a filethat holds other programs or data (e.g., one or more scripts stored in amarkup language document), in a single file dedicated to the program inquestion, or in multiple coordinated files (e.g., files that store oneor more modules, sub programs, or portions of code). A computer programcan be deployed to be executed on one computer or on multiple computersthat are located at one site or distributed across multiple sites andinterconnected by a communication network.

The processes and logic flows described in this specification can beperformed by one or more programmable processors executing one or morecomputer programs to perform functions by operating on input data andgenerating output. The processes and logic flows can also be performedby, and apparatus can also be implemented as, special purpose logiccircuitry, e.g., an FPGA (field programmable gate array) or an ASIC(application specific integrated circuit).

Processors suitable for the execution of a computer program include, byway of example, both general and special purpose microprocessors, andanyone or more processors of any kind of digital computer. Generally, aprocessor will receive instructions and data from a read only memory ora random access memory or both. The essential elements of a computer area processor for performing instructions and one or more memory devicesfor storing instructions and data. Generally, a computer will alsoinclude, or be operatively coupled to receive data from or transfer datato, or both, one or more mass storage devices for storing data, e.g.,magnetic, magneto optical disks, or optical disks. However, a computerneed not have such devices. Moreover, a computer can be embedded inanother device, e.g., a mobile telephone, a personal digital assistant(PDA), a mobile audio player, a Global Positioning System (GPS)receiver, to name just a few. Computer readable media suitable forstoring computer program instructions and data include all forms ofnon-volatile memory, media and memory devices, including by way ofexample semiconductor memory devices, e.g., EPROM, EEPROM, and flashmemory devices; magnetic disks, e.g., internal hard disks or removabledisks; magneto optical disks; and CD ROM and DVD-ROM disks. Theprocessor and the memory can be supplemented by, or incorporated in,special purpose logic circuitry.

To provide for interaction with a user, embodiments of the subjectmatter described in this specification can be implemented on a devicehaving a display, e.g., a CRT (cathode ray tube) or LCD (liquid crystaldisplay) monitor, for displaying information to the user and a keyboardand a pointing device, e.g., a mouse or a trackball, by which the usercan provide input to the computer. Other kinds of devices can be used toprovide for interaction with a user as well. Feedback provided to theuser can be any form of sensory feedback, e.g., visual feedback,auditory feedback, or tactile feedback. Input from the user can bereceived in any form, including acoustic, speech, or tactile input.

Embodiments of the subject matter described in this specification can beimplemented in a computing system that includes a back end component,e.g., a data server, or that includes a middleware component, e.g., anapplication server, or that includes a front end component, e.g., aclient computer having a graphical user interface or a Web browserthrough which a user can interact with an implementation of the subjectmatter described in this specification, or any combination of one ormore such back end, middleware, or front end components. The componentsof the system can be interconnected by any form or medium of digitaldata communication, e.g., a communication network. Examples ofcommunication networks include a local area network (“LAN”) and a widearea network (“WAN”), e.g., the Internet.

The computing system can include clients and servers. A client andserver are generally remote from each other and typically interactthrough a communication network. The relationship of client and serverarises by virtue of computer programs running on the respectivecomputers and having a client-server relationship to each other. Itshould be appreciated that the disclosed embodiments may be applicableto other types of messages depending upon the implementation. Further,the messages may comprise one or more data packets, datagrams or othercollection of data formatted, arranged configured and/or packaged in aparticular one or more protocols, e.g., the FIX protocol, TCP/IP,Ethernet, etc., suitable for transmission via a network 214 as wasdescribed, such as the message format and/or protocols described in U.S.Pat. No. 7,831,491 and U.S. Patent Publication No. 2005/0096999 A1, bothof which are incorporated by reference herein in their entireties andrelied upon. Further, the disclosed message management system may beimplemented using an open message standard implementation, such as FIX,FIX Binary, FIX/FAST, or by an exchange-provided API.

The illustrations of the embodiments described herein are intended toprovide a general understanding of the structure of the variousembodiments. The illustrations are not intended to serve as a completedescription of all of the elements and features of apparatus and systemsthat utilize the structures or methods described herein. Many otherembodiments may be apparent to those of skill in the art upon reviewingthe disclosure. Other embodiments may be utilized and derived from thedisclosure, such that structural and logical substitutions and changesmay be made without departing from the scope of the disclosure.Additionally, the illustrations are merely representational and may notbe drawn to scale. Certain proportions within the illustrations may beexaggerated, while other proportions may be minimized. Accordingly, thedisclosure and the figures are to be regarded as illustrative ratherthan restrictive.

While this specification contains many specifics, these should not beconstrued as limitations on the scope of the invention or of what may beclaimed, but rather as descriptions of features specific to particularembodiments of the invention. Certain features that are described inthis specification in the context of separate embodiments can also beimplemented in combination in a single embodiment. Conversely, variousfeatures that are described in the context of a single embodiment canalso be implemented in multiple embodiments separately or in anysuitable sub-combination. Moreover, although features may be describedas acting in certain combinations and even initially claimed as such,one or more features from a claimed combination can in some cases beexcised from the combination, and the claimed combination may bedirected to a sub-combination or variation of a sub-combination.

Similarly, while operations are depicted in the drawings and describedherein in a particular order, this should not be understood as requiringthat such operations be performed in the particular order shown or insequential order, or that all illustrated operations be performed, toachieve desirable results. In certain circumstances, multitasking andparallel processing may be advantageous. Moreover, the separation ofvarious system components in the described embodiments should not beunderstood as requiring such separation in all embodiments, and itshould be understood that the described program components and systemscan generally be integrated together in a single software product orpackaged into multiple software products.

One or more embodiments of the disclosure may be referred to herein,individually and/or collectively, by the term “invention” merely forconvenience and without intending to voluntarily limit the scope of thisapplication to any particular invention or inventive concept. Moreover,although specific embodiments have been illustrated and describedherein, it should be appreciated that any subsequent arrangementdesigned to achieve the same or similar purpose may be substituted forthe specific embodiments shown. This disclosure is intended to cover anyand all subsequent adaptations or variations of various embodiments.Combinations of the above embodiments, and other embodiments notspecifically described herein, will be apparent to those of skill in theart upon reviewing the description.

The Abstract of the Disclosure is provided to comply with 37 C.F.R. §1.72(b) and is submitted with the understanding that it will not be usedto interpret or limit the scope or meaning of the claims. In addition,in the foregoing Detailed Description, various features may be groupedtogether or described in a single embodiment for the purpose ofstreamlining the disclosure. This disclosure is not to be interpreted asreflecting an intention that the claimed embodiments require morefeatures than are expressly recited in each claim. Rather, as thefollowing claims reflect, inventive subject matter may be directed toless than all of the features of any of the disclosed embodiments. Thus,the following claims are incorporated into the Detailed Description,with each claim standing on its own as defining separately claimedsubject matter.

It is therefore intended that the foregoing detailed description beregarded as illustrative rather than limiting, and that it be understoodthat it is the following claims, including all equivalents, that areintended to define the spirit and scope of this invention.

What is claimed is:
 1. A system comprising: a transaction receiverlocated at a first location different from another location of a clientcomputer, the transaction receiver configured to receive, over a networkcoupled therebetween and characterized by a first transmission latency,an electronic data transaction request message from the client computer,the transaction receiver configured to augment the received electronicdata transaction request message and forward the augmented electronicdata transaction request message to a plurality of transactionprocessors over a network coupled therebetween and characterized by asecond transmission latency and operative to process the augmentedelectronic data transaction request message, generate at least oneelectronic data transaction result message based on the processing ofthe augmented electronic data transaction request message and transmitat least a subset of the at least one electronic data transaction resultmessage to at least the client computer over a network coupledtherebetween and characterized by a third transmission latency less thanthe first transmission latency.
 2. The system of claim 1, wherein eachof the plurality of transaction processors is located at one of thefirst location or near the other location, wherein a distance from alocation of the at least one of the plurality of transaction processorsto the client computer is less than a distance between the clientcomputer and the first location.
 3. The system of claim 2, wherein thedistance comprises one of a physical and/or logical distance.
 4. Thesystem of claim 1, wherein each of the plurality of transactionprocessors is located such that the second transmission latency is lessthan the third transmission latency.
 5. The system of claim 1, furthercomprising a transaction processor selector operative to determine whichof the plurality of transaction processors is coupled with the clientcomputer over a network characterized by a lowest transmission latencyand cause the determined transaction processor to transmit the subset ofthe at least one electronic data transaction result message to theclient computer.
 6. The system of claim 1, further comprising atransaction processor selector operative to determine which of theplurality of transaction processors is coupled with each of a pluralityof other client computers over a network characterized by a lowesttransmission latency there between and cause the determined transactionprocessor to transmit the subset of the at least one electronic datatransaction result message to that client computer.
 7. The system ofclaim 1, further comprising a transaction processor selector operativeto determine which of the plurality of transaction processors is coupledwith a network characterized by a transmission latency which, incombination with the first transmission latency, equalizes a totaltransmission latency from when the client computer transmits theelectronic data transaction request message to when the client computerreceives the subset of the at least one electronic data transactionresult message generated based thereon with a total transmission latencyfrom any of other of the plurality of other client computers transmitsanother electronic data transaction request message to when that otherclient computer receives another subset of the at least one electronicdata transaction result message generated based thereon, and cause thedetermined transaction processor to transmit the subset of the at leastone electronic data transaction result message to the client computer.8. The system of claim 1, wherein the first and third transmissionlatencies each respectively depend at least upon an amount of datarequired to communicate the subset of the at least one electronic datatransaction result message and the electronic data transaction requestmessage.
 9. The system of claim 1, wherein the amount of data requiredto communicate the subset of the at least one electronic datatransaction result message is greater than the amount of data requiredto communicate the electronic data transaction request message.
 10. Thesystem of claim 1, wherein the transaction receiver is one of aplurality of transaction receivers each located at one of a plurality ofdifferent locations, each of the plurality of transaction receiversbeing configured to augment electronic data transaction request messagesreceived from any of a plurality of client computers including theclient computer and forward the augmented electronic transaction requestmessage to the plurality of transaction processors, the system furthercomprising a transaction receiver selector operative to select only oneof the plurality of transaction receivers to at least forward augmentedelectronic data transaction request messages received from any of theplurality of client computers to the plurality of transaction processorsat any given time.
 11. The system of claim 10, wherein the transactionreceiver selector is further operative to select the one of theplurality of transaction receivers that is configured to at leastforward augmented electronic data transaction request messages receivedfrom any of the plurality of client computers at a particular time basedon a current time of day.
 12. A computer implemented method comprising:receiving, by a processor at a first location different from anotherlocation of a client computer, over a network coupled therebetween andcharacterized by a first transmission latency, an electronic datatransaction request message from the client computer, the processorconfigured to augment the received electronic data transaction requestmessage and forwarding the augmented electronic transaction requestmessage to a plurality of transaction processors over a network coupledtherebetween and characterized by a second transmission latency andoperative to process the augmented electronic data transaction requestmessage, generate at least one electronic data transaction resultmessage based on the processing of the augmented electronic datatransaction request message and transmit at least a subset of the atleast one electronic data transaction result message to at least theclient computer over a network coupled therebetween and characterized bya third transmission latency less than the first transmission latency.13. The computer implemented method of claim 12, wherein each of theplurality of transaction processors is located at one of the firstlocation or near the other location, wherein a distance from a locationof the at least one of the plurality of transaction processors to theclient computer is less than a distance between the client computer andthe first location.
 14. The computer implemented method of claim 12,wherein the distance comprises one of a physical and/or logicaldistance.
 15. The computer implemented method of claim 12, wherein eachof the plurality of transaction processors is located such that thesecond transmission latency is less than the third transmission latency.16. The computer implemented method of claim 12, further comprisingdetermining which of the plurality of transaction processors is coupledwith the client computer over a network characterized by a lowesttransmission latency and causing the determined transaction processor totransmit the subset of the at least one electronic data transactionresult message to the client computer.
 17. The computer implementedmethod of claim 12, further comprising determining which of theplurality of transaction processors is coupled with each of a pluralityof other client computers over a network characterized by a lowesttransmission latency there between and causing the determinedtransaction processor to transmit the subset of the at least oneelectronic data transaction result message to that client computer. 18.The computer implemented method of claim 12, further comprisingdetermining which of the plurality of transaction processors is coupledwith a network characterized by a transmission latency which, incombination with the first transmission latency, equalizes a totaltransmission latency from when the client computer transmits theelectronic data transaction request message to when the client computerreceives the subset of the at least one electronic data transactionresult message generated based thereon with a total transmission latencyfrom any of other of the plurality of other client computers transmitsanother electronic data transaction request message to when that otherclient computer receives another subset of the at least one electronicdata transaction result message generated based thereon, and causing thedetermined transaction processor to transmit the subset of the at leastone electronic data transaction result message to the client computer.19. The computer implemented method of claim 12, wherein the first andthird transmission latencies each respectively depend at least upon anamount of data required to communicate the subset of the at least oneelectronic data transaction result message and the electronic datatransaction request message.
 20. The computer implemented method ofclaim 12, wherein the amount of data required to communicate the subsetof the at least one electronic data transaction result message isgreater than the amount of data required to communicate the electronicdata transaction request message.
 21. The computer implemented method ofclaim 12, wherein the processor is one of a plurality of processors eachlocated at one of a plurality of different locations, each of theprocessors being configured to augment electronic data transactionrequest messages received from any of a plurality of client computersincluding the client computer and forward the augmented electronictransaction request message to the plurality of transaction processors,the method further comprising selecting only one of the plurality ofprocessors to at least forward augmented electronic data transactionrequest messages received from any of the plurality of client computersto the plurality of transaction processors at any given time.
 22. Thecomputer implemented method of claim 21, further comprising selectingthe one of the plurality of processors that is configured to at leastforward augmented electronic data transaction request messages receivedfrom any of the plurality of client computers at a particular time basedon a current time of day.
 23. A system comprising: means for receiving,at a location different from another location of a client computer, overa network coupled therewith and characterized by a first transmissionlatency, an electronic data transaction request message from the clientcomputer, augmenting the received electronic data transaction requestmessage and forwarding the augmented electronic transaction requestmessage to a plurality of transaction processors over a network coupledtherebetween and characterized by a second transmission latency andoperative to process the augmented electronic data transaction requestmessage, generate at least one electronic data transaction resultmessage based on the processing of the augmented electronic datatransaction request message and transmit at least a subset of the atleast one electronic data transaction result message to at least theclient computer over a network coupled therebetween and characterized bya third transmission latency less than the first transmission latency.